The Validation of Risk Models

A Handbook for Practitioners
1. Auflage 2016
ISBN: 978-1-137-43695-5
Verlag: Palgrave Macmillan UK

Buch, Englisch, 242 Seiten, HC runder Rücken kaschiert, Format (B × H): 160 mm x 241 mm, Gewicht: 547 g

Reihe: Applied Quantitative Finance

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.

Zielgruppe

Research

Autoren/Hrsg.

Scandizzo, S.

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Management Risikomanagement
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft

Inhaltsverzeichnis

Introduction: A Model Risk Primer PART I: A FRAMEWORK FOR RISK MODEL VALIDATION 1. Validation, governance and supervision 2. A validation framework for risk models PART II: CREDIT RISK 3. Credit risk models 4. Probability of default models 5. Loss Given Default models 6. Exposure at Default models PART III: MARKET RISK 7. Value at risk models 8. Interest rate risk on the banking book PART IV: COUNTERPARTY CREDIT RISK 9. Counterparty Credit Risk Models PART V: OPERATIONAL RISK 10. The validation of AMA models 11. Use test for operational risk PART VI: PILLAR 2 MODELS 12. Economic capital models 13. Stress testing models 14. Conclusion

Über Autor(innen)

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.