The Validation of Risk Models
A Handbook for Practitioners
1st Edition
Published on 27. April 2016
Book
Hardback
252 pages
978-1-137-43695-5 (ISBN)
Description
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.
More details
Product info
HC runder Rücken kaschiert
Series
Edition
1st ed. 2016
Language
English
Place of publication
London
United Kingdom
Target group
Professional and scholarly
Illustrations
VIII, 242 p.
Dimensions
Height: 241 mm
Width: 160 mm
Thickness: 20 mm
Weight
547 gr
ISBN-13
978-1-137-43695-5 (9781137436955)
DOI
10.1057/9781137436962
Schweitzer Classification
Other editions
Additional editions
Book
10/2016
Palgrave Macmillan
€85.59
The article will not be published
E-Book
07/2016
1st Edition
Palgrave Macmillan
€128.39
Available for download
Person
Sergio Scandizzo
Content
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
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