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33 min
1. Risk management: some lessons from the credit crisis- Mr. Edward Fishwick
- Archived Lectures *These may not cover the latest advances in the field
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22 min
2. The need for a new paradigm- Mr. Alan Brown
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41 min
3. Leading bank credit portfolio strategies- Mr. Brian Dvorak
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26 min
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18 min
5. Quantmare, August 2007- Mr. Eoin Murray
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36 min
6. Risk decomposition (and risk budgeting)- Mr. Jason MacQueen
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43 min
7. Structural and reduced form models- Dr. Theo Darsinos
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43 min
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40 min
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52 min
10. Estimating risk models- Prof. Kevin Dowd
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24 min
11. Hedge fund risk assessment- Mr. David Martin
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45 min
12. Modeling business dependencies for credit portfolios- Dr. Markus A. Leippold
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26 min
13. VaR when volatility is changing- Dr. Elizabeth Sheedy
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30 min
14. Conditional Value at Risk (CoVAR)- Mr. KiHoon Jimmy Hong
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40 min
15. Dependence modeling with copulas- Prof. Paul Embrechts
- Dr. Johanna Neslehova
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41 min
16. Extreme value theory and copulas- Prof. Paul Embrechts
- Dr. Johanna Neslehova
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42 min
17. Measures of financial risk- Prof. Kevin Dowd
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37 min
18. Modelling UK Mortgage Default in Light of the Financial Crisis- Mr. Warapong Wongwachara
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23 min
19. Statistical models for risk management- Prof. John Knight
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34 min
20. The structure of equity risk models- Mr. Jason MacQueen
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42 min
21. Utility theory and mean variance- Dr. Norvald Instefjord
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40 min
22. Definitions of risk- Dr. Norvald Instefjord
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29 min
23. Practical use of portfolio risk management today- Mr. Daryl Roxburgh
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44 min
24. Volatility- Dr. George A. Christodoulakis
Printable Handouts
Navigable Slide Index
- Introduction
- Outline
- Principles by the AIG
- Predictive ability of a bank's risk estimates
- What is discriminatory power?
- Tools for measuring discriminatory power
- Notation from "Validation Techniques l"
- Cumulative accuracy profile (CAP)
- CAP curves
- Accuracy ratio (AG) (or Gini coefficient)
- Receiver operating characteristic (ROC) (1)
- ROC curves
- Area under the curve (AUC)
- Error rates as measures of discriminatory power
- Pietra index and stability index
- Conditional PD given the scores (P[D|S])
- Determination coefficient and Brier score
- Entropy based measures
- Information entropy as function of PD
- Shadow ratings
- Calibration - how accurate are the estimates?
- Conditional versus unconditional tests
- Binomial test
- Calibration - example
- Hosmer - Lemeshow test
- Spiegelhalter test
- Spiegelhalter test - basic setting
- Spiegelhalter test: test statistic
- Testing unconditional PDs
- Testing unconditional PDs: test statistic
- Example for use of normal test
- Conclusions
Topics Covered
- Validation principles
- Predictive ability, discriminatory power and PD calibration
- Cumulative accuracy profile (CAP)
- Accuracy ratio (AR)
- Receiver operating characteristic
- Kolmogorov-Smirnov statistic
- Conditional and unconditional tests
- Binomial test
- Hosmer-Lemeshow test
- Spiegelhalter test
- Normal test
Talk Citation
Tasche, D. (2007, October 1). Validation techniques II: discriminatory power and calibration [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved January 2, 2025, from https://doi.org/10.69645/KCTV8979.Export Citation (RIS)
