The Validation of Risk Models
Description
Reviews / Votes
"A book that sheds a required and well-timed light on the perpetual debate, inside any organisation, between risk validation of model, models for risk validation and model risk. The tools and techniques proposed are valid not only for practitioners working within regulated entities but for all the risk managers in search of a guide into the model validation's definition and best practices." (Cosimo Pacciani, Chief Risk Officer, European Stability Mechanism)
"This book is a very useful reference for professionals and ought to be a core text book for every professional in charge of risk models or their validation. It is well written and explains the nature of model risks in finance, introduces a framework for risk model validation and provides further illustrations for specific type of risks and risk measurement approaches. A distinctive feature of this book is its focus on practical challenges most practitioners may have already come across together with a sound reference to finance theory. There is no book I am aware of that covers risk model validation in that practical and comprehensive manner." (Sven Muehlenbrock, Partner, Head of Risk Advisory, KPMG Luxembourg)
More details
Other editions
Additional editions
Person
Content
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
