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Cover: 9781137436955 | The Validation of Risk Models | A Handbook for Practitioners | Buch
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The Validation of Risk Models
A Handbook for Practitioners
Buch von S. Scandizzo
Sprache: Englisch

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Beschreibung
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.
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.
Über den Autor
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.
Zusammenfassung
This book is a one-stop-shop reference for risk management practitioners involved in the validation of risk models
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
Details
Erscheinungsjahr: 2016
Fachbereich: Betriebswirtschaft
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Reihe: Applied Quantitative Finance
Inhalt: viii
242 S.
ISBN-13: 9781137436955
ISBN-10: 1137436956
Sprache: Englisch
Ausstattung / Beilage: HC runder Rücken kaschiert
Einband: Gebunden
Autor: Scandizzo, S.
Auflage: 1st ed. 2016
Hersteller: Palgrave Macmillan
Palgrave Macmillan UK
Applied Quantitative Finance
Maße: 241 x 160 x 20 mm
Von/Mit: S. Scandizzo
Erscheinungsdatum: 27.04.2016
Gewicht: 0,547 kg
Artikel-ID: 104144503
Über den Autor
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.
Zusammenfassung
This book is a one-stop-shop reference for risk management practitioners involved in the validation of risk models
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
Details
Erscheinungsjahr: 2016
Fachbereich: Betriebswirtschaft
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Reihe: Applied Quantitative Finance
Inhalt: viii
242 S.
ISBN-13: 9781137436955
ISBN-10: 1137436956
Sprache: Englisch
Ausstattung / Beilage: HC runder Rücken kaschiert
Einband: Gebunden
Autor: Scandizzo, S.
Auflage: 1st ed. 2016
Hersteller: Palgrave Macmillan
Palgrave Macmillan UK
Applied Quantitative Finance
Maße: 241 x 160 x 20 mm
Von/Mit: S. Scandizzo
Erscheinungsdatum: 27.04.2016
Gewicht: 0,547 kg
Artikel-ID: 104144503
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