The Analytics of Risk Model Validation

Index

A

Aaa-rated borrower 63

Accord Implementation Group (AIG) 171

“Account seasoning” of loan age 4, 11n

Accuracy ratio (AR) statistic 27–8

calculation of 111

for credit rating 185–6

Advanced measurement approaches (AMA)  See operational risk models

Alarm rate 184

Area under ROC (AUROC) statistic 27–8, 116–18

confidence intervals for 32

properties under normal distribution 131–3

Area under the curve (AUC), for credit rating 187–8

B

Back-cast performance, of portfolios 24–5

Bank–borrower relationship 2

Bank–firm relationship 2

Basel Committee on Banking Supervision (BCBS) 170

approved approach for rating system 177

§501 of 172

§502 of 172

§504 of 172

Basel II banking guidelines 13–15, 23–4, 57n, 60, 62, 170–2

Second Consultative Paper 64

Bayes’ formula, for joint statistical ...