The Analytics of Risk Model Validation

The first book on risk model validation following Basel I and II initiatives

George A. Christodoulakis (Edited by), Stephen Satchell (Edited by)

9780750681582

Hardback, published 17 October 2007

216 pages
23.4 x 16.5 x 2 cm, 0.5 kg

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.

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

Subject Areas: Investment & securities [KFFM], Banking [KFFK], Finance [KFF], Risk assessment [GPQD]