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1 online resource (217 pages) |
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text txt rdacontent |
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computer c rdamedia |
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online resource cr rdacarrier |
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Quantitative Finance Ser |
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Quantitative Finance Ser
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| Note |
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 |
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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 |
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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 |
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The first book to provide research and guidance on carrying out risk model validation under Basel II requirements |
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Description based on publisher supplied metadata and other sources |
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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2020. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries |
| Link |
Print version: Satchell, Stephen The Analytics of Risk Model Validation
London : Elsevier Science & Technology,c2007 9780750681582
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| Subject |
Risk management - Mathematical models
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Electronic books
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| Alt Author |
Christodoulakis, George A
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Satchell, Stephen
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