The Validation of Risk Models
A Handbook for Practitioners
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ISBN-13:
9781137436955
Veröffentl:
2016
Einband:
HC runder Rücken kaschiert
Erscheinungsdatum:
27.04.2016
Seiten:
252
Autor:
S. Scandizzo
Gewicht:
547 g
Format:
241x160x20 mm
Serie:
Applied Quantitative Finance
Sprache:
Englisch
Beschreibung:
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.
This book is a one-stop-shop reference for risk management practitioners involved in the validation of risk models
Introduction: A Model Risk PrimerPART I: A FRAMEWORK FOR RISK MODEL VALIDATION1. Validation, governance and supervision 2. A validation framework for risk modelsPART II: CREDIT RISK3. Credit risk models4. Probability of default models5. Loss Given Default models6. Exposure at Default modelsPART III: MARKET RISK7. Value at risk models8. Interest rate risk on the banking bookPART IV: COUNTERPARTY CREDIT RISK9. Counterparty Credit Risk ModelsPART V: OPERATIONAL RISK10. The validation of AMA models11. Use test for operational riskPART VI: PILLAR 2 MODELS12. Economic capital models13. Stress testing models14. Conclusion
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