the Analytics of Risk Model Validation

Contents
Abouttheeditors vii
Aboutthecontributors ix
Preface xiii
1Determinantsofsmallbusinessdefault 1
SumitAgarwal,SouphalaChomsisengphetandChunlinLiu
2Validationofstresstestingmodels 13
JosephL.Breeden
3Thevalidityofcreditriskmodelvalidationmethods 27
GeorgeChristodoulakisandStephenSatchell
4Amoments-basedprocedureforevaluatingriskforecastingmodels 45
KevinDowd
5Measuringconcentrationriskincreditportfolios 59
KlausDuellmann
6Asimplemethodforregulatorstocross-checkoperationalriskloss
modelsforbanks 79
WayneHollandandManMohanS.Sodhi
7Ofthecredibilityofmappingandbenchmarkingcreditriskestimatesfor
internalratingsystems 91
VichettOung
8AnalyticmodelsoftheROCcurve:Applicationstocreditrating
modelvalidation 113
StephenSatchellandWeiXia
9Thevalidationoftheequityportfolioriskmodels 135
StephenSatchell
10Dynamicriskanalysisandriskmodelevaluation 149
GnterSchwarzandChristophKessle
11ValidationofinternalratingsystemsandPDestimates 169
DirkTasche
Index 197

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