| Description |
1 online resource. |
|
text file |
|
PDF |
| Physical Medium |
polychrome |
| Series |
Applied quantitative finance series
|
|
Applied quantitative finance.
|
| Bibliography |
Includes bibliographical references and index. |
| Summary |
The practice of quantitative risk management has reached unprecedented levels of sophistication. The pricing, the assessment of risk as well as the computation of the capital requirements for highly complex transactions are performed through equally complex mathematical models, running on sophisticated computer systems, developed and operated by dedicated, highly qualified specialists. With this sophistication, however, come risks that are unpredictable, globally challenging and difficult to manage. Model risk is a prime example of these and precisely the kind of risk that those tasked with managing financial institutions as well as those overseeing the soundness and stability of the financial system should worry about. This book starts with setting the problem of the validation of risk models within the context of banking governance and proposes a comprehensive methodological framework for the assessment of models against compliance, qualitative and quantitative benchmarks. It provides a comprehensive guide to the tools and techniques required for the qualitative and quantitative validation of the key categories of risk models and introduces a practical methodology for the measurement of the resulting model risk and its translation into prudent adjustments to capital requirements and other estimates. |
| Contents |
Cover ; Half Title ; Title Page; Copyright Page ; Table of Contents; List of Figures; List of Tables; Acknowledgements; Introduction: A Model Risk Primer; Part I A Framework for Risk Model Validation; 1 Validation, Governance and Supervision; 2 A Validation Framework forRisk 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 Risk10 The Validation of AMA Models; 11 Model Implementation and Use Test in Operational Risk; Part VI Pillar 2 Models; 12 Economic Capital Models; 13 Stress Testing Models; 14 Conclusion: A Model for Measuring Model Risk; Index. |
| Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
| Language |
English. |
| Subject |
Risk management -- Mathematical models.
|
|
Risk management -- Mathematical models. |
|
Banks and banking -- Mathematical models.
|
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Banks and banking -- Mathematical models. |
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Banks and banking. |
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Investments -- Mathematical models.
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Investments -- Mathematical models. |
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Corporations -- Finance -- Mathematical models.
|
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BUSINESS & ECONOMICS -- Industrial Management. |
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BUSINESS & ECONOMICS -- Management. |
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BUSINESS & ECONOMICS -- Management Science. |
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Corporations -- Finance -- Mathematical models. |
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BUSINESS & ECONOMICS -- Organizational Behavior. |
| Other Form: |
Print version: Scandizzo, Sergio. Validation of risk models. Houndmills, Basingstoke, Hampshire : Palgrave Macmillan, 2016 9781137436955 1137436956 (DLC) 2015040403 |
| ISBN |
9781137436962 (electronic book) |
|
1137436964 (electronic book) |
|
1137436956 |
|
9781137436955 |
| Standard No. |
10.1057/9781137436962 |
|
