The Validation Of Risk Models
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Validation Of Risk Management Models For Financial Institutions
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Author : David Lynch
language : en
Publisher: Cambridge University Press
Release Date : 2023-01-31
Validation Of Risk Management Models For Financial Institutions written by David Lynch and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-01-31 with Business & Economics categories.
A comprehensive book on validation with coverage of all the risk management models.
The Validation Of Risk Models
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Author : S. Scandizzo
language : en
Publisher: Springer
Release Date : 2016-07-01
The Validation Of Risk Models written by S. Scandizzo and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-01 with Business & Economics categories.
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 Validation Of Risk Models
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Author : S. Scandizzo
language : en
Publisher: Palgrave Macmillan
Release Date : 2016-08-23
The Validation Of Risk Models written by S. Scandizzo and has been published by Palgrave Macmillan this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-08-23 with Business & Economics categories.
The practice of quantitative risk management has reached unprecedented levels of refinement. 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 advanced 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 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 Analytics Of Risk Model Validation
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Author : George A. Christodoulakis
language : en
Publisher: Elsevier
Release Date : 2007-11-14
The Analytics Of Risk Model Validation written by George A. Christodoulakis and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-14 with Business & Economics categories.
Risk model validation is an emerging and important area of research, and has arisen because of Basel I and II. These regulatory initiatives require trading institutions and lending institutions to compute their reserve capital in a highly analytic way, based on the use of internal risk models. It is part of the regulatory structure that these risk models be validated both internally and externally, and there is a great shortage of information as to best practise. Editors Christodoulakis and Satchell collect papers that are beginning to appear by regulators, consultants, and academics, to provide the first collection that focuses on the quantitative side of model validation. The book covers the three main areas of risk: Credit Risk and Market and Operational Risk. *Risk model validation is a requirement of Basel I and II *The first collection of papers in this new and developing area of research *International authors cover model validation in credit, market, and operational risk
The Validation Of Risk Models
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Author : S. Scandizzo
language : en
Publisher: Palgrave Macmillan
Release Date : 2016-04-27
The Validation Of Risk Models written by S. Scandizzo and has been published by Palgrave Macmillan this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-27 with Business & Economics categories.
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.
Understanding And Managing Model Risk
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Author : Massimo Morini
language : en
Publisher: John Wiley & Sons
Release Date : 2011-10-20
Understanding And Managing Model Risk written by Massimo Morini and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10-20 with Business & Economics categories.
A guide to the validation and risk management of quantitative models used for pricing and hedging Whereas the majority of quantitative finance books focus on mathematics and risk management books focus on regulatory aspects, this book addresses the elements missed by this literature--the risks of the models themselves. This book starts from regulatory issues, but translates them into practical suggestions to reduce the likelihood of model losses, basing model risk and validation on market experience and on a wide range of real-world examples, with a high level of detail and precise operative indications.
Risk Model Validation
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Author : Peter Quell
language : en
Publisher:
Release Date : 2016
Risk Model Validation written by Peter Quell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Risk management categories.
Ifrs 9 And Cecl Credit Risk Modelling And Validation
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Author : Tiziano Bellini
language : en
Publisher: Academic Press
Release Date : 2019-02-08
Ifrs 9 And Cecl Credit Risk Modelling And Validation written by Tiziano Bellini and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-02-08 with Business & Economics categories.
IFRS 9 and CECL Credit Risk Modelling and Validation covers a hot topic in risk management. Both IFRS 9 and CECL accounting standards require Banks to adopt a new perspective in assessing Expected Credit Losses. The book explores a wide range of models and corresponding validation procedures. The most traditional regression analyses pave the way to more innovative methods like machine learning, survival analysis, and competing risk modelling. Special attention is then devoted to scarce data and low default portfolios. A practical approach inspires the learning journey. In each section the theoretical dissertation is accompanied by Examples and Case Studies worked in R and SAS, the most widely used software packages used by practitioners in Credit Risk Management. Offers a broad survey that explains which models work best for mortgage, small business, cards, commercial real estate, commercial loans and other credit products Concentrates on specific aspects of the modelling process by focusing on lifetime estimates Provides an hands-on approach to enable readers to perform model development, validation and audit of credit risk models
Risk Model Validation
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Author : Christian Meyer
language : en
Publisher:
Release Date : 2011
Risk Model Validation written by Christian Meyer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Risk management categories.
An essential part of a decision-maker's armoury, Risk Model Validation provides an intensive guide to asking the key questions when integrating the outputs of quantitative modeling into everyday business decisions.
Managing Portfolio Credit Risk In Banks An Indian Perspective
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Author : Arindam Bandyopadhyay
language : en
Publisher: Cambridge University Press
Release Date : 2016-05-09
Managing Portfolio Credit Risk In Banks An Indian Perspective written by Arindam Bandyopadhyay and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-09 with Business & Economics categories.
This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.