Validation of Risk Models

A Handbook for Practitioners

AvS. Scandizzo

Inbunden, Engelska, 2016

Del i serien Applied Quantitative Finance

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Beskrivning

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.

Produktinformation

Utgivningsdatum:2016-04-27
Mått:155 x 235 x 20 mm
Vikt:547 g
Format:Inbunden
Språk:Engelska
Serie:Applied Quantitative Finance
Antal sidor:242
Upplaga:16001
Förlag:Palgrave Macmillan
ISBN:9781137436955

Utforska kategorier

Finansiering inom Ekonomi och Ledarskap

Mer om författaren

Sergio Scandizzo is the Head of Model Validation at the European Investment Bank (EIB) in Luxembourg. He is the author of Risk and Governance: A Framework for Banking Organisations; The Operational Risk Manager's Guide, now in its second edition, and of Validation and Use Test in AMA. He is Associate Editor of The Journal of Operational Risk and has published several journal papers on fuzzy logic, genetic algorithms and risk management.

Innehållsförteckning

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