Christodoulakis G.A., Satchell S. (Eds.) The Analytics of Risk Model Validation

Academic Press, 2008. – 216 p. – ISBN: 9780750681582Risk 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 practice. 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 riskAbout the contributorsDeterminants of small business default
Validation of stress testing models
The validity of credit risk model validation methods
A moments-based procedure for evaluating risk forecasting models
Measuring concentration risk in credit portfolios
A simple method for regulators to cross-check operational risk loss models for banks
Of the credibility of mapping and benchmarking credit risk estimates for internal rating systems
Analytic models of the ROC curve: Applications to credit rating model validation
The validation of the equity portfolio risk models
Dynamic risk analysis and risk mod el evaluation
Validation of internal rating systems and PD estimates