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, 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 Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Wirtschaftswissenschaften Betriebswirtschaft Management Risikomanagement

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; , now in its second edition, and of . He is Associate Editor of and has published several journal papers on fuzzy logic, genetic algorithms and risk management.