語系:
繁體中文
English
日文
簡体中文
說明(常見問題)
登入
回首頁
到查詢結果
[ subject:"Risk management" ]
切換:
標籤
|
MARC模式
|
ISBD
The analytics of risk model validati...
~
Christodoulakis, George.
The analytics of risk model validation[electronic resource] /
紀錄類型:
書目-語言資料,印刷品 : Monograph/item
杜威分類號:
658.155015118
書名/作者:
The analytics of risk model validation/ edited by George Christodoulakis, Stephen Satchell.
其他作者:
Christodoulakis, George.
出版者:
Amsterdam ; : Elsevier/Academic Press,, c2008.
面頁冊數:
xi, 201 p. ;; 24 cm.
叢書名:
Quantitative finance series
標題:
Risk management - Mathematical models.
ISBN:
9780750681582
ISBN:
0750681586
書目註:
Includes bibliographical references and index.
內容註:
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.
摘要、提要註:
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. *Risk model validation is a requirement of Basel I and II *The first collection of papers in this new and developing area of research *International authors cover model validation in credit, market, and operational risk.
電子資源:
An electronic book accessible through the World Wide Web; click for information
電子資源:
http://www.loc.gov/catdir/enhancements/fy0833/2008297532-d.html
The analytics of risk model validation[electronic resource] /
The analytics of risk model validation
[electronic resource] /edited by George Christodoulakis, Stephen Satchell. - 1st ed. - Amsterdam ;Elsevier/Academic Press,c2008. - xi, 201 p. ;24 cm. - Quantitative finance series.
Includes bibliographical references and index.
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.
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. *Risk model validation is a requirement of Basel I and II *The first collection of papers in this new and developing area of research *International authors cover model validation in credit, market, and operational risk.
Electronic reproduction.
Amsterdam :
Elsevier Science & Technology,
2008.
Mode of access: World Wide Web.
ISBN: 9780750681582
Source: 133772:133898Elsevier Science & Technologyhttp://www.sciencedirect.comSubjects--Topical Terms:
367082
Risk management
--Mathematical models.Index Terms--Genre/Form:
336502
Electronic books.
LC Class. No.: HD61 / .A525 2008eb
Dewey Class. No.: 658.155015118
The analytics of risk model validation[electronic resource] /
LDR
:03760nam 2200385Ia 4500
001
341761
003
OCoLC
005
20090612093507.0
006
m d
007
cr cn|||||||||
008
110627s2007 ne sb 001 0 eng d
020
$a
9780750681582
020
$a
0750681586
029
1
$a
NZ1
$b
12541654
029
1
$a
AU@
$b
000043178499
035
$a
(OCoLC)228147999
035
$a
ocn228147999
037
$a
133772:133898
$b
Elsevier Science & Technology
$n
http://www.sciencedirect.com
040
$a
OPELS
$c
OPELS
049
$a
TEFA
050
1 4
$a
HD61
$b
.A525 2008eb
072
7
$a
HG
$2
lcco
082
0 4
$a
658.155015118
$2
22
245
0 4
$a
The analytics of risk model validation
$h
[electronic resource] /
$c
edited by George Christodoulakis, Stephen Satchell.
250
$a
1st ed.
260
$a
Amsterdam ;
$a
Boston :
$b
Elsevier/Academic Press,
$c
c2008.
300
$a
xi, 201 p. ;
$c
24 cm.
440
0
$a
Quantitative finance series
504
$a
Includes bibliographical references and index.
505
0
$a
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.
520
$a
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. *Risk model validation is a requirement of Basel I and II *The first collection of papers in this new and developing area of research *International authors cover model validation in credit, market, and operational risk.
533
$a
Electronic reproduction.
$b
Amsterdam :
$c
Elsevier Science & Technology,
$d
2008.
$n
Mode of access: World Wide Web.
$n
System requirements: Web browser.
$n
Title from title screen (viewed on May 14, 2008).
$n
Access may be restricted to users at subscribing institutions.
650
0
$a
Risk management
$x
Mathematical models.
$3
367082
655
7
$a
Electronic books.
$2
local
$3
336502
700
1
$a
Christodoulakis, George.
$3
417320
700
1
$a
Satchell, S.
$q
(Stephen)
$3
404040
710
2
$a
ScienceDirect (Online service)
$3
365609
776
1
$c
Original
$z
9780750681582
$z
0750681586
$w
(DLC) 2008297532
$w
(OCoLC)166334186
856
4 0
$3
ScienceDirect
$u
http://www.sciencedirect.com/science/book/9780750681582
$z
An electronic book accessible through the World Wide Web; click for information
856
4 2
$3
Publisher description
$u
http://www.loc.gov/catdir/enhancements/fy0833/2008297532-d.html
994
$a
C0
$b
TEF
筆 0 讀者評論
多媒體
多媒體檔案
http://www.sciencedirect.com/science/book/9780750681582
http://www.loc.gov/catdir/enhancements/fy0833/2008297532-d.html
評論
新增評論
分享你的心得
Export
取書館別
處理中
...
變更密碼
登入