The Validation of Risk Models A Handbook for Practitioners
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Auteur:
S. Scandizzo
S Scandizzo
- Engels
- Hardcover
- 9781137436955
- 27 april 2016
- 242 pagina's
Samenvatting
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.
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.
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.
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Inhoud
- Taal
- en
- Bindwijze
- Hardcover
- Oorspronkelijke releasedatum
- 27 april 2016
- Aantal pagina's
- 242
- Illustraties
- Nee
Betrokkenen
- Hoofdauteur
- S. Scandizzo
- Tweede Auteur
- S Scandizzo
- Hoofduitgeverij
- Palgrave Macmillan
Overige kenmerken
- Editie
- 1st ed. 2016
- Extra groot lettertype
- Nee
- Product breedte
- 159 mm
- Product hoogte
- 23 mm
- Product lengte
- 240 mm
- Studieboek
- Nee
- Verpakking breedte
- 155 mm
- Verpakking hoogte
- 240 mm
- Verpakking lengte
- 235 mm
- Verpakkingsgewicht
- 547 g
EAN
- EAN
- 9781137436955
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