S. Scandizzo
The Validation of Risk Models
A Handbook for Practitioners
Gebonden Engels 2016 9781137436955Levertijd ongeveer 9 werkdagen
Gratis verzonden
Samenvatting
This book is a one-stop-shop reference for risk management practitioners involved in the validation of risk models. It is a comprehensive manual about the tools, techniques and processes to be followed, focused on all the models that are relevant in the capital requirements and supervisory review of large international banks.
Specificaties
ISBN13:9781137436955
Taal:Engels
Bindwijze:gebonden
Uitgever:Palgrave Macmillan UK
Hoofdrubriek:Leiderschap, Financieel management
Lezersrecensies
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Inhoudsopgave
Introduction: A Model Risk Primer
PART I: A FRAMEWORK FOR RISK MODEL VALIDATION
1. Validation, governance and supervision
2. A validation framework for risk models
PART II: CREDIT RISK
3. Credit risk models
4. Probability of default models
5. Loss Given Default models
6. Exposure at Default models
PART III: MARKET RISK
7. Value at risk models
8. Interest rate risk on the banking book
PART IV: COUNTERPARTY CREDIT RISK
9. Counterparty Credit Risk Models
PART V: OPERATIONAL RISK
10. The validation of AMA models
11. Use test for operational risk
PART VI: PILLAR 2 MODELS
12. Economic capital models
13. Stress testing models
14. Conclusion
PART I: A FRAMEWORK FOR RISK MODEL VALIDATION
1. Validation, governance and supervision
2. A validation framework for risk models
PART II: CREDIT RISK
3. Credit risk models
4. Probability of default models
5. Loss Given Default models
6. Exposure at Default models
PART III: MARKET RISK
7. Value at risk models
8. Interest rate risk on the banking book
PART IV: COUNTERPARTY CREDIT RISK
9. Counterparty Credit Risk Models
PART V: OPERATIONAL RISK
10. The validation of AMA models
11. Use test for operational risk
PART VI: PILLAR 2 MODELS
12. Economic capital models
13. Stress testing models
14. Conclusion
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