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The analytics of risk model validation
- 其他作者：
- 出版： Amsterdam ;Boston : Elsevier/Academic Press
- 版本：1st ed.
- 叢書名： Quantitative finance series
- 主題： Risk management--Mathematical models
- ISBN： 9780750681582 (hbk) 、 0750681586 (hbk)
- 資料類型: 圖書
- 內容註: Includes bibliographical references and index. Determinants of small business default / Sumit Agarwal, Souphala Chomsisengphet and Chunlin Liu -- Validation of stress testing models / Joseph L. Breeden -- The validity of credit risk model validation methods / George Christodoulakis and Stephen Satchell -- A moments-based procedure for evaluation risk forecasting models / Kevin Dowd -- Measuring concentration risk in credit portfolios / Klaus Duellmann -- A simple method for regulators to cross-check operational risk loss models for banks / Wayne Holand and ManMohan S. Sodhi -- Of the credibility of mapping and benchmarking credit risk estimates for internal rating systems / Vichett Oung -- Analytic models of the ROC curve : applications to credit rating model validation / Stephen Satchell and Wei Xia -- The validation of the equity portfolio risk models / Stephen Satchell -- Dynamic risk analysis and risk model evaluation / Gunter Schwarz and Christoph Kessler -- Validation of internal rating systems and PD estimates / Dirk Tasche.
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讀者標籤：
- 系統號： 005030950 | 機讀編目格式
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