The Analytics of Risk Model Validation

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.

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