The Validation of Risk Models

Name: The Validation of Risk Models
Author: S. Scandizzo

A Handbook for Practitioners

Gebonden Engels 2016 9781137436955

155,76

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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

Serie:Applied Quantitative Finance

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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