A First Course in Model Validation and Model Risk Management

Häftad, Engelska, 2026

1 061 kr

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Beskrivning

A First Course in Model Validation and Model Risk Management offers robust coverage for current and future financial engineers. Useful as part of a masters program, for self-study, or as a valuable reference, the textbook explains in step-by-step, practical terms how mathematical models owned by financial institutions are essential to their public activities, including sales, trading, risk management, and internal audits. Like a diverse fleet of cars maintained by a rental car location, a bank must make sure customers can "drive" any of its models for a specific financial product. The book covers both pricing and risk models. Chapters consider modeling basics, marked-to-market and marked-to-model asset classes, market risk, credit risk, portfolio risk, operational risk, capital model risk, and financial crime, along with machine learning/AI.

To support course use and practical applications, the text provides examples in Python throughout, as well as an appendix containing homework problems for all chapters, further supported by an ftp site for data and sample code. Additional appendices cover global model risk management, and a refresher in statistics.

Offers practical concepts for learning model validation and model risk management
Explains how to use Python-based models to assess and manage model risk
Covers the US gold standard of model risk, "Federal Reserve Board SR 11-7", including testing inputs, testing outputs, benchmarking, outcomes analysis, third party models, and compensating controls
Discusses model governance, including model inventory , risk ratings, and the three lines of defense
Provides Instructor Manuals for qualified instructors via https://www.educate.elsevier.com/book/details/9780443337468

Produktinformation

Utgivningsdatum:2026-04-20
Mått:234 x 35 x 191 mm
Vikt:1 195 g
Format:Häftad
Språk:Engelska
Antal sidor:582
Förlag:Elsevier Science
ISBN:9780443337468

Utforska kategorier

Redovisning inom Ekonomi och Ledarskap
Privatekonomi inom Ekonomi och Ledarskap

Mer om författaren

Jonathan Schachter holds a PhD from University of California, Berkeley, and has over 23 years of experience as a model risk professional, with a practical background in market risk, portfolio risk, operational risk, capital model risk, and AI risk. Currently Jonathan is CEO and Founder of Delta Vega Inc, and has previously held positions at Jefferies Financial and Citibank, among other firms. Martin Goldberg holds a PhD from City University of New York, and is Vice President in Model Validation at Mizuho Americas. He has held past positions at Citigroup, Bloomberg, AIG, and Chase Manhattan Bank. He is also on the Board of Directors for Rutgers University (Newark), for their Master of Quantitative Finance (MQF) Program, and has presented widely at conferences and universities on topics related to model risk assessment. Chandrakant Maheshwari is a seasoned expert in model validation with over 20 years of experience in financial risk analytics. An alum of the Indian Institute of Technology, Delhi, he is also an avid blogger and regularly publishes articles on model validation, sharing his extensive knowledge and insights in the field, and works in the financial sector.

Innehållsförteckning

1. Introductory Material2. Model Basics3. Standards4. Techniques5. Marked-to-Market Asset Classes6. Marked-to-Model Asset Classes7. Market Risk I: Statistical Measures8. Market Risk II: Stress Testing9. Issuer Credit Risk10. Counterparty Credit Risk11. Correlation Credit Risk12. Portfolio Risk13. Operational Risk14. Capital Model Risk15. Artificial Intelligence Risk16. Miscellaneous Topics in Model Risk17. Model Governance

Mer från samma författare

First Course in Model Validation and Model Risk Management

Chandrakant Maheshwari, Martin Goldberg, Jonathan Schachter

E-bok

2026

1 170 kr

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