The Analytics of Risk Model Validation.

Front Cover -- The Analytics of Risk Model Validation -- Copyright Page -- Table of Contents -- About the editors -- About the contributors -- Preface -- Chapter 1 Determinants of small business default -- Abstract -- 1. Introduction -- 2. Data, methodology and summary statistics -- 3. Empirical results of small business default -- 4. Conclusion -- References -- Notes -- Chapter 2 Validation of stress testing models -- Abstract -- 1. Why stress test? -- 2. Stress testing basics -- 3. Overview of validation approaches -- 4. Subsampling tests -- 5. Ideal scenario validation -- 6. Scenario validation -- 7. Cross-segment validation -- 8. Back-casting -- 9. Conclusions -- References -- Chapter 3 The validity of credit risk model validation methods -- Abstract -- 1. Introduction -- 2. Measures of discriminatory power -- 3. Uncertainty in credit risk model validation -- 4. Confidence interval for ROC -- 5. Bootstrapping -- 6. Optimal rating combinations -- 7. Concluding remarks -- References -- Chapter 4 A moments-based procedure for evaluating risk forecasting models -- Abstract -- 1. Introduction -- 2. Preliminary analysis -- 3. The likelihood ratio test -- 4. A moments test of model adequacy -- 5. An illustration -- 6. Conclusions -- 7. Acknowledgements -- References -- Notes -- Appendix -- 1. Error distribution -- 2. Two-piece normal distribution -- 3. t-Distribution -- 4. Skew-t distribution -- Chapter 5 Measuring concentration risk in credit portfolios -- Abstract -- 1. Concentration risk and validation -- 2. Concentration risk and the IRB model -- 3. Measuring name concentration -- 4. Measuring sectoral concentration -- 5. Numerical example -- 6. Future challenges of concentration risk measurement -- 7. Summary -- References -- Notes -- Appendix A.1: IRB risk weight functions and concentration risk.