Validation of Risk Models

A Handbook for Practitioners

Inbunden, Engelska, 2016

1 889 kr

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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

Utgivningsdatum2016-04-27
Mått155 x 235 x 20 mm
Vikt547 g
FormatInbunden
SpråkEngelska
SerieApplied Quantitative Finance
Antal sidor242
Upplaga16001
FörlagPalgrave Macmillan
ISBN9781137436955

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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.

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