The Analytics of Risk Model Validation

Table of Contents

Cover image

Title page

Copyright page

About the editors

About the contributors

Preface

1: Determinants of small business default

Abstract

1 Introduction

2 Data, methodology and summary statistics

3 Empirical results of small business default

4 Conclusion

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

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 ...