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001    EBC319164 
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005    20200713055121.0 
006    m     o  d |       
007    cr cnu|||||||| 
008    200713s2007    xx      o     ||||0 eng d 
020    9780080553887|q(electronic bk.) 
020    |z9780750681582 
035    (MiAaPQ)EBC319164 
035    (Au-PeEL)EBL319164 
035    (CaPaEBR)ebr10206015 
035    (CaONFJC)MIL107150 
035    (OCoLC)228147999 
040    MiAaPQ|beng|erda|epn|cMiAaPQ|dMiAaPQ 
050  4 HD61.A53 2008 
082 0  658.155015118 
100 1  Satchell, Stephen 
245 14 The Analytics of Risk Model Validation 
264  1 London :|bElsevier Science & Technology,|c2007 
264  4 |c©2008 
300    1 online resource (217 pages) 
336    text|btxt|2rdacontent 
337    computer|bc|2rdamedia 
338    online resource|bcr|2rdacarrier 
490 1  Quantitative Finance Ser 
505 0  Front Cover -- The Analytics of Risk Model Validation -- 
       Copyright Page -- Table of Contents -- About the editors -
       - About the contributors -- Preface -- Chapter 1 
       Determinants of small business default -- Abstract -- 1. 
       Introduction -- 2. Data, methodology and summary 
       statistics -- 3. Empirical results of small business 
       default -- 4. Conclusion -- References -- Notes -- Chapter
       2 Validation of stress testing models -- Abstract -- 1. 
       Why stress test? -- 2. Stress testing basics -- 3. 
       Overview of validation approaches -- 4. Subsampling tests 
       -- 5. Ideal scenario validation -- 6. Scenario validation 
       -- 7. Cross-segment validation -- 8. Back-casting -- 9. 
       Conclusions -- References -- Chapter 3 The validity of 
       credit risk model validation methods -- Abstract -- 1. 
       Introduction -- 2. Measures of discriminatory power -- 3. 
       Uncertainty in credit risk model validation -- 4. 
       Confidence interval for ROC -- 5. Bootstrapping -- 6. 
       Optimal rating combinations -- 7. Concluding remarks -- 
       References -- Chapter 4 A moments-based procedure for 
       evaluating risk forecasting models -- Abstract -- 1. 
       Introduction -- 2. Preliminary analysis -- 3. The 
       likelihood ratio test -- 4. A moments test of model 
       adequacy -- 5. An illustration -- 6. Conclusions -- 7. 
       Acknowledgements -- References -- Notes -- Appendix -- 1. 
       Error distribution -- 2. Two-piece normal distribution -- 
       3. t-Distribution -- 4. Skew-t distribution -- Chapter 5 
       Measuring concentration risk in credit portfolios -- 
       Abstract -- 1. Concentration risk and validation -- 2. 
       Concentration risk and the IRB model -- 3. Measuring name 
       concentration -- 4. Measuring sectoral concentration -- 5.
       Numerical example -- 6. Future challenges of concentration
       risk measurement -- 7. Summary -- References -- Notes -- 
       Appendix A.1: IRB risk weight functions and concentration 
       risk 
505 8  Appendix A.2: Factor surface for the diversification 
       factor -- Appendix A.3 -- Chapter 6 A simple method for 
       regulators to cross-check operational risk loss models for
       banks -- Abstract -- 1. Introduction -- 2. Background -- 
       3. Cross-checking procedure -- 4. Justification of our 
       approach -- 5. Justification for a lower bound using the 
       lognormal distribution -- 6. Conclusion -- References -- 
       Chapter 7 Of the credibility of mapping and benchmarking 
       credit risk estimates for internal rating systems -- 
       Abstract -- 1. Introduction -- 2. Why does the portfolio's
       structure matter? -- 3. Credible credit ratings and 
       credible credit risk estimates -- 4. An empirical 
       illustration -- 5. Credible mapping -- 6. Conclusions -- 
       7. Acknowledgements -- References -- Appendix -- 1. 
       Further elements of modern credibility theory -- 2. Proof 
       of the credibility fundamental relation -- 3. Mixed Gamma-
       Poisson distribution and negative binomial -- 4. 
       Calculation of the Bühlmann credibility estimate under the
       Gamma-Poisson model -- 5. Calculation of accuracy ratio --
       Chapter 8 Analytic models of the ROC curve: Applications 
       to credit rating model validation -- Abstract -- 1. 
       Introduction -- 2. Theoretical implications and 
       applications -- 3. Choices of distributions -- 4. 
       Performance evaluation on the AUROC estimation with 
       simulated data -- 5. Summary -- 6. Conclusions -- 7. 
       Acknowledgements -- References -- Note -- Appendix -- 1. 
       The properties of AUROC for normally distributed sample --
       Chapter 9 The validation of the equity portfolio risk 
       models -- Abstract -- 1. Linear factor models -- 2. 
       Building a time series model -- 3. Building a statistical 
       factor model -- 4. Building models with known beta's -- 5.
       Forecast construction and evaluation -- 6. Diagnostics -- 
       7. Time horizons and data frequency -- 8. The residuals --
       9. Monte Carlo procedures -- 10. Conclusions 
505 8  References -- Chapter 10 Dynamic risk analysis and risk 
       model evaluation -- Abstract -- 1. Introduction -- 2. 
       Volatility over time and the cumulative variance -- 3. 
       Beta over time and cumulative covariance -- 4. Dynamic 
       risk model evaluation -- 5. Summary -- References -- 
       Chapter 11 Validation of internal rating systems and PD 
       estimates -- Abstract -- 1. Introduction -- 2. Regulatory 
       background -- 3. Statistical background -- 4. Monotonicity
       of conditional PDs -- 5. Discriminatory power of rating 
       systems -- 6. Calibration of rating systems -- 7. 
       Conclusions -- References -- Notes -- Index 
520    The first book to provide research and guidance on 
       carrying out risk model validation under Basel II 
       requirements 
588    Description based on publisher supplied metadata and other
       sources 
590    Electronic reproduction. Ann Arbor, Michigan : ProQuest 
       Ebook Central, 2020. Available via World Wide Web. Access 
       may be limited to ProQuest Ebook Central affiliated 
       libraries 
650  0 Risk management - Mathematical models 
655  4 Electronic books 
700 1  Christodoulakis, George A 
700 1  Satchell, Stephen 
776 08 |iPrint version:|aSatchell, Stephen|tThe Analytics of Risk
       Model Validation|dLondon : Elsevier Science & Technology,
       c2007|z9780750681582 
830  0 Quantitative Finance Ser 
856 40 |uhttps://ebookcentral.proquest.com/lib/sinciatw/
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