The Analytics of Risk Model Validation

References

Basel Committee on Banking Supervision (BCBS) (2004) Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework (http://www.bis.org/publ/bcbs107.htm).

Basel Committee on Banking Supervision (BCBS) (2005a) Update on work of the Accord Implementation Group related to validation under the Basel II Framework (http://www.bis.org/publ/bcbs_nl4.htm).

Basel Committee on Banking Supervision (BCBS) (2005b) Studies on the Validation of Internal Rating Systems (revised), Working Paper No. 14. (http://www.bis.org/publ/bcbs_wp14.htm).

Blochwitz, S., Hohl, S., Wehn, C. and Tasche, D. (2004) Validating Default Probabilities on Short Time Series. Capital & Market Risk Insights, Federal Reserve Bank of Chicago.

Brown, L., Cai, T. and Dasgupta, A. (2001) Interval estimation for a binomial proportion. Statistical Science, 16, 101 33.

Casella, G. and Berger, R.L. (2001) Statistical inference . Second edition. Duxberry, Pacific Grove.

Committee of European Banking Supervisors (CEBS) (2005) Guidelines on the implementation, validation and assessment of Advanced Measurement (AMA) and Internal Ratings Based (IRB) Approaches (http://www.c-ebs.org/pdfs/CP10rev.pdf).

Engelmann, B., Hayden, E. and Tasche, D. (2003) Testing rating accuracy. Risk 16, 82 6.

Pluto, K. and Tasche, D. (2005) Thinking positively. Risk, 18, 72 8.

Rauhmeier, R. and Scheule, H. (2005) Rating properties and their implications for Basel II capital. Risk 18, 78 81.

Sheskin, D.J. (1997) Handbook of parametric and nonparametric statistical procedures . CRC Press, Boca Raton.

Tasche, D. (2002) Remarks on the monotonicity of default probabilities, Working Paper (http://arxiv.org/abs/cond-mat/0207555).

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