Model risk: identification, measurement and management
Gespeichert in:
| Weitere Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
London
Risk Books
2010
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXXVI, 500 S. |
| ISBN: | 9781906348250 |
Internformat
MARC
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
List of Figures
ix
List of Tables
xv
About the Editors
xxi
About the Authors
xxiii
Introduction
xxxv
PART I CONCEPTS AND STOCHASTIC FRAMEWORKS FOR
MODEL RISK
1
1
Downturn Model Risk: Another View on the Global Financial
Crisis
3
Daniel
Rösch; Harald Schenk
Leibniz
Universität
Hannover; The University of Melbourne
2
Follow the Money from Boom to Bust
19
Jorge R. Sobehart
Citi
Risk Architecture
3
Model Risk and Non-Gaussian Latent Risk Factors
45
Steffi Hose and Stefan Huschens
Technische Universität
Dresden
4
Model Risk in Garch-Type Financial Time Series
75
Corinna Luedtke, Philipp Sibbertsen
Leibniz
Universität
Hannover
PART
H
MACROECONOMIC
AND CAPITAL MODELS
91
5
Monetary Policy, Asset Return Dynamics and the General
Equilibrium Effect
93
Kmng-Liang Cfiang; Nan-Kiiang Chen;
Otarles Ka Yui
Leung
Xational
Chiavi
University; National Taiwan University;
City University of Hong Kong
6
Capital Divergence: Sensitivity of Economic and Regulatory
Capital under Stress
137
Oleg
Burd
KfW IPEX-Bank GmbH
MODEL
RISK
PARTIU
CREDIT PORTFOLIO RISK MODELS
153
7
Diversified Asset Portfolio Modelling: Sources and
Mitigante
of Model Risk
155
Sean Keenan,
Stefano
SantUli, Sukyul
Suh;
Andrew Barnes, Huaiyu Ma, Colin McCulloch
GE Capital; GE Global Research Center
8
Transmission of Macro Shocks to Loan Losses in a Deep Crisis:
The Case of Finland
183
Esa
Jokwuolle;
Matti
Virên;
Oskaři
Vähämaa
Bank
of Finland; University of Turku and Bank of Finland;
University of Turku
9
Comparison of Credit-Risk Models for Portfolios of Retail
Loans Based on Behavioural Scores
209
Lyn
С
Thomas; Madhur Malik
University of Southampton; Lloyds Banking Group
10
Validating Structural Credit Portfolio Models
233
Michael Kalkbrener, Akwum Onwunta
Deutsche Bank
AG
11
Asymmetric Asset Correlation: Some Implications for the
Estimation of Probability of Default
263
Peŕer
Мій;
Bogie
Özdemir
McMaster University; BMO Financial Group
12
A Latent Variable Approach to Validate Credit Rating Systems
277
Kurt
Horník,
Rainer Jankowitsch, Christoph Leitner,
Stefan
Fichier;
Manuel Lingo, Gerhard
Winkler
Wirtschaftsuniversität Wien; Oesterreichische Nationalbank
PART
IV LIQUIDITY,
MARKET
AND OPERATIONAL RISK
MODELS 297
13
Modelling
Derivatives
Cashflows in Liquidity Risk
Models 299
Siefan Reitz
Hochschule für Technik Stuttgart
14 Potential
Future
Market
Risk
315
Manuela Spangler, Ralf Werner
Deutsche Pfandbriefbank
15 Market
Risk Modelling: Approaches to Assessing
Model Adequacy
339
Carsten
S. Wehn
DekaBank
vi
CONTENTS
16
Estimation of Operational Value-at-Risk in the Presence of
Minimum Collection Threshold: An Empirical Study
359
Anna Chernobai; Christian Menn; Svetlozar T. Rachev; Stefan Truck
Syracuse University;
DZ Bank AG; Universität
Karlsruhe,
Finanalytica
Inc,
University of California at Santa Barbara;
Macquarie University
17
Operational Risk and Hedge Fund Performance: Evidence from
Australia
421
Robin Liio, Xiangkang Yin
La Trobe University
PARTV
RISKTRANSFER
AND SECURITISATION MODELS
435
18
Identification and Classification of Model Risks in
Counterparty Credit Risk Measurement Systems
437
Marcus R. W. Martin
University of Applied Sciences, Darmstadt
19
Quantifying Systematic Risks in a Portfolio of CoUateralised
Debt Obligations
457
Martin Donhauser, Alfred Hamerle,
Kilián
Plank
University of
Regensburg
Epilogue
489
Index
493
vii
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| spelling | Model risk identification, measurement and management Ed. by Harald Scheule ... London Risk Books 2010 XXXVI, 500 S. txt rdacontent n rdamedia nc rdacarrier Modellierung (DE-588)4170297-9 gnd rswk-swf Risikoanalyse (DE-588)4137042-9 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Kapitalmarkt (DE-588)4029578-3 s Risikomanagement (DE-588)4121590-4 s Modellierung (DE-588)4170297-9 s Risikoanalyse (DE-588)4137042-9 s b DE-604 Scheule, Harald 1975- (DE-588)12845525X edt Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020484954&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Model risk identification, measurement and management Modellierung (DE-588)4170297-9 gnd Risikoanalyse (DE-588)4137042-9 gnd Risikomanagement (DE-588)4121590-4 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| subject_GND | (DE-588)4170297-9 (DE-588)4137042-9 (DE-588)4121590-4 (DE-588)4029578-3 (DE-588)4143413-4 |
| title | Model risk identification, measurement and management |
| title_auth | Model risk identification, measurement and management |
| title_exact_search | Model risk identification, measurement and management |
| title_full | Model risk identification, measurement and management Ed. by Harald Scheule ... |
| title_fullStr | Model risk identification, measurement and management Ed. by Harald Scheule ... |
| title_full_unstemmed | Model risk identification, measurement and management Ed. by Harald Scheule ... |
| title_short | Model risk |
| title_sort | model risk identification measurement and management |
| title_sub | identification, measurement and management |
| topic | Modellierung (DE-588)4170297-9 gnd Risikoanalyse (DE-588)4137042-9 gnd Risikomanagement (DE-588)4121590-4 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| topic_facet | Modellierung Risikoanalyse Risikomanagement Kapitalmarkt Aufsatzsammlung |
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