The Validation of Risk Models: A Handbook for Practitioners - Rilegato

Scandizzo, Sergio

Rilegato

ISBN 10: 1137436956 ISBN 13: 9781137436955

Casa editrice: Palgrave Macmillan, 2016

Riassunto

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.

Su questo libro

Informazioni sull?autore

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; The Operational Risk Manager's Guide, now in its second edition, and of Validation and Use Test in AMA. He is Associate Editor of The Journal of Operational Risk and has published several journal papers on fuzzy logic, genetic algorithms and risk management.

Dalla quarta di copertina

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.

Dettagli dell'edizione

• Editore: Palgrave Macmillan
• Data di pubblicazione: 2016
• Lingua: Inglese
• ISBN 10: 1137436956
• ISBN 13: 9781137436955
• Rilegatura: Copertina rigida
• Numero edizione: 1
• Numero di pagine: 242
• Contatto del produttore: ProductSafety@springernature.com; ProductSafety@springernature.com; ; Poststr. 9; Darmstadt; 64293; Germania