Email RIS file
Bookmark
Report an Issue

The validation of risk models [electronic resource] : a handbook for practitioners / Sergio Scandizzo, Head of Model Validation, European Investment Bank, Luxembourg

Author
Scandizzo, Sergio
Published
New York, NY : Palgrave Macmillan, 2016.
Physical Description
viii, 242 pages ; 24 cm.
Access Online

Availability

I Want It
I Want It

Finding items...

Series
Restrictions on Access
License restrictions may limit access.
Contents
Machine generated contents note: Introduction A Model Risk Primer Part 1 A Framework for Risk Model Validation Chapter 1 The role of validation in banking governance Chapter 2 Validation from a supervisory perspective Chapter 3 A model validation framework for risk management Part 2 Credit Risk Chapter 4 Probability of default models Chapter 5 Loss Given Default models Chapter 6 Credit Conversion Factor models Part 3 Counterparty Credit Risk Chapter 7 Derivatives valuation models Chapter 8 Expected Future Exposure models Chapter 9 Credit Valuation Adjustment models Part 4 Market risk Chapter 10 Trading market risk models Chapter 11 Hedging and model validation Chapter 12 Interest rate risk on the banking book Part 5 Operational risk Chapter 13 The validation of AMA models Chapter 14 Use test for operational risk Part 6 Validation of Pillar 2 Models Chapter 15 Economic capital models Chapter 16 Stress testing models Conclusion.
Summary
"Thepractice of quantitative risk management has reached unprecedented levels of refinement.The pricing, the assessment of risk as well as the computation of the capitalrequirements for highly complex transactions are performed through equally complex mathematical models, running on advanced computer systems, developedand operated by dedicated, highly qualified specialists. With thissophistication, however, come risks that are unpredictable, globallychallenging and difficult to manage. Model risk is a prime example andprecisely the kind of risk that those tasked with managing financial institutionsas well as those overseeing the soundness and stability of the financial systemshould worry about. This book starts with setting the problem of the validation of risk models withinthe context of banking governance and proposes a comprehensive methodological framework for the assessment of models against compliance, qualitative andquantitative benchmarks. It provides a comprehensive guide to the tools andtechniques required for the qualitative and quantitative validation of the keycategories of risk models, and introduces a practical methodology for themeasurement of the resulting model risk and its translation into prudentadjustments to capital requirements and other estimates"--
Subject(s)
Genre(s)
ISBN
9781137436955 (hardback)
Note
Includes index.
View MARC record | catkey: 40554523