The Validation of Risk Models : A Handbook for Practitioners / by S. Scandizzo.

Format:

Book

Author/Creator:

Scandizzo, S., Author.

Series:

Applied Quantitative Finance, 2947-7018

Language:

English

Subjects (All):

Financial risk management.

Financial services industry.

Business enterprises--Finance.

Business enterprises.

Risk Management.

Financial Services.

Corporate Finance.

Local Subjects:

Risk Management.

Financial Services.

Corporate Finance.

Physical Description:

1 online resource (VIII, 242 p.)

Edition:

1st ed. 2016.

Place of Publication:

London : Palgrave Macmillan UK : Imprint: Palgrave Macmillan, 2016.

Language Note:

English

Summary:

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.

Contents:

Machine generated contents note: Introduction A Model Risk Primer Part 1 A Framework for Risk Model Validation Chapter 1 The role of validation in banking governance Chapter 2 Validation from a supervisory perspective Chapter 3 A model validation framework for risk management Part 2 Credit Risk Chapter 4 Probability of default models Chapter 5 Loss Given Default models Chapter 6 Credit Conversion Factor models Part 3 Counterparty Credit Risk Chapter 7 Derivatives valuation models Chapter 8 Expected Future Exposure models Chapter 9 Credit Valuation Adjustment models Part 4 Market risk Chapter 10 Trading market risk models Chapter 11 Hedging and model validation Chapter 12 Interest rate risk on the banking book Part 5 Operational risk Chapter 13 The validation of AMA models Chapter 14 Use test for operational risk Part 6 Validation of Pillar 2 Models Chapter 15 Economic capital models Chapter 16 Stress testing models Conclusion.

Notes:

Bibliographic Level Mode of Issuance: Monograph

Includes bibliographical references at the end of each chapters and index.

ISBN:

9781137436962

1137436964