Overview

Risk model validation is an emerging and important area of research, and has arisen because of Basel I and II. These regulatory initiatives require trading institutions and lending institutions to compute their reserve capital in a highly analytic way, based on the use of internal risk models. It is part of the regulatory structure that these risk models be validated both internally and externally, and there is a great shortage of information as to best practise. Editors Christodoulakis and Satchell collect papers that are beginning to appear by regulators, consultants, and academics, to provide the first collection that focuses on the quantitative side of model validation. The book covers the three main areas of risk: Credit Risk and Market and Operational Risk.

Full Product Details

Author:   George A. Christodoulakis (Advisor to the Governor of the Bank of Greece and Assistant Professor of Finance, Manchester Business School, U.K.) ,  Stephen Satchell (Reader in Financial Econometrics, Trinity College, Cambridge, UK)
Publisher:   Elsevier Science & Technology
Imprint:   Academic Press Inc.(London) Ltd
Dimensions:   Width: 16.50cm , Height: 1.40cm , Length: 23.40cm
Weight:   0.500kg
ISBN:  

9780750681582

ISBN 10:   0750681586
Pages:   216
Publication Date:   17 October 2007
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print  
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Table of Contents

Contents Chapter 1 Determinants of small business default, Sumit Agarwal, Souphala Chomsisengphet and Chunlin Liu Chapter 2 Validation of stress testing models, Jospeh L. Breeden Chapter 3 The validity of credit risk model validation methods, George Christodoulakis and Stephen Satchell Chapter 4 A moment-based procedure for evaluating risk forecasting models, Kevin Dowd Chpater 5 Measuring concentration risk in credit portfolios, Klaus Duellmann Chapter 6 A simple method for regulators to cross-check operational risk loss models for banks, Wayne Holland and ManMohan S. Sodhi Chapter 7 Of the credibility of mapping and bencmarking credit risk estimates for internal rating systems, Vichett Oung Chapter 8 Analytic models of the ROC curve: Applications to credit rating model validation, Stephen Satchell and Wei Xia Chapter 9 The validation of the equity portfolio risk models, Stephen Satchell Chapter 10 Dynamic risk analysis and risk model evaluation, Gunter Schwarz and Christoph Kessler Chapter 11 Validation of internal rating systems and PD esitmates, Dirk Tasche Index

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Author Information

Stephen Satchell is a Fellow of Trinity College, the Reader in Financial Econometrics at the University of Cambridge and Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk.

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