The first book to provide research and guidance on carrying out risk model validation under Basel II requirements. …Front Cover -- The Analytics of Risk Model Validation -- Copyright Page -- Table of Contents -- About the editors …-segment validation -- 8. Back-casting -- 9. Conclusions -- References -- Chapter 3 The validity of credit risk model validation methods …

A longstanding objective of managers is to reduce risk to their businesses. The conventional strategy for risk … Organizational Portfolio Analysis, firms are viewed as portfolios of business units, and the key to risk reduction is both … 332 firms (from COMPUSTAT) were used to empirically test the relationships between diversification and risk, and …

: The Price of Asymmetric Dependence -- 3.1 Introduction -- 3.2 The Asymmetric Dependence Risk Premium -- 3.2.1 Empirical ….2.6 In-Sample Regression Results -- 3.2.7 Out-of-Sample Regressions -- 3.2.8 Time-Varying Risk -- 3.3 Conclusion … 6.A Proof of Application of Sheppardâ s Theorem to the Bivariate Elliptical -- 6.A.1 Extensions -- Chapter 7: Risk …

dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets, the discussion … guidance on mitigating the risks. Examine an options-based approach to limiting your portfolio's downside risk Manage …