The Analytics of Risk Model Validation

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

Produk Detail:

  • Author : George A. Christodoulakis
  • Publisher : Elsevier
  • Pages : 216 pages
  • ISBN : 9780080553887
  • Rating : 4/5 from 21 reviews
CLICK HERE TO GET THIS BOOKThe Analytics of Risk Model Validation

The Analytics of Risk Model Validation

The Analytics of Risk Model Validation
  • Author : George A. Christodoulakis,Stephen Satchell
  • Publisher : Elsevier
  • Release : 14 November 2007
GET THIS BOOKThe Analytics of Risk Model Validation

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

Credit Risk Analytics

Credit Risk Analytics
  • Author : Bart Baesens,Daniel Roesch,Harald Scheule
  • Publisher : John Wiley & Sons
  • Release : 03 October 2016
GET THIS BOOKCredit Risk Analytics

The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management. Combining theory with practice, this book walks you through the fundamentals of credit risk management and shows you how to implement these concepts using the SAS credit risk management program, with helpful code provided. Coverage includes data analysis and preprocessing, credit scoring; PD and LGD estimation and forecasting,

Understanding and Managing Model Risk

Understanding and Managing Model Risk
  • Author : Massimo Morini
  • Publisher : John Wiley & Sons
  • Release : 20 October 2011
GET THIS BOOKUnderstanding and Managing Model Risk

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

The Validation of Risk Models

The Validation of Risk Models
  • Author : S. Scandizzo
  • Publisher : Palgrave Macmillan
  • Release : 27 April 2016
GET THIS BOOKThe Validation of Risk Models

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

The Validation of Risk Models

The Validation of Risk Models
  • Author : S. Scandizzo
  • Publisher : Springer
  • Release : 01 July 2016
GET THIS BOOKThe Validation of Risk Models

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.

Risk Analysis and Portfolio Modelling

Risk Analysis and Portfolio Modelling
  • Author : Elisa Luciano,David Allen
  • Publisher : MDPI
  • Release : 16 October 2019
GET THIS BOOKRisk Analysis and Portfolio Modelling

Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.

Model Risk Management with SAS

Model Risk Management with SAS
  • Author : SAS
  • Publisher : SAS Institute
  • Release : 29 June 2020
GET THIS BOOKModel Risk Management with SAS

Cut through the complexity of model risk management with a guide to solutions from SAS! There is an increasing demand for more model governance and model risk awareness. At the same time, high-performing models are expected to be deployed faster than ever. SAS Model Risk Management is a user-friendly, web-based application that facilitates the capture and life cycle management of statistical model-related information. It enables all stakeholders in the model life cycle — developers, validators, internal audit, and management – to get

Managing Model Risk

Managing Model Risk
  • Author : Bart Baesens,Seppe vanden Broucke
  • Publisher : Unknown Publisher
  • Release : 30 June 2021
GET THIS BOOKManaging Model Risk

Get up to speed on identifying and tackling model risk! Managing Model Risk provides data science practitioners, business professionals and analytics managers with a comprehensive guide to understand and tackle the fundamental concept of analytical model risk in terms of data, model specification, model development, model validation, model operationalization, model security and model management. Providing state of the art industry and research insights based on the author''s extensive experience, this illustrated textbook has a well-balanced theory-practice focus and covers all

IFRS 9 and CECL Credit Risk Modelling and Validation

IFRS 9 and CECL Credit Risk Modelling and Validation
  • Author : Tiziano Bellini
  • Publisher : Academic Press
  • Release : 08 February 2019
GET THIS BOOKIFRS 9 and CECL Credit Risk Modelling and Validation

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

Financial Risk Management

Financial Risk Management
  • Author : Jimmy Skoglund,Wei Chen
  • Publisher : John Wiley & Sons
  • Release : 04 September 2015
GET THIS BOOKFinancial Risk Management

A global banking risk management guide geared toward the practitioner Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing

Food Safety and Preservation

Food Safety and Preservation
  • Author : Alexandru Mihai Grumezescu,Alina Maria Holban
  • Publisher : Academic Press
  • Release : 18 April 2018
GET THIS BOOKFood Safety and Preservation

Food Safety and Preservation: Modern Biological Approaches to Improving Consumer Health explores the most recent and investigated hot topics in food safety, microbial contamination, food-borne diseases and advanced preservation methods. It brings together the significant, evidence-based scientific progress of various approaches to improve the safety and quality of foods, also offering solutions to help address food industry challenges. Recent studies and technological advancements in biological control are presented to control foodborne pathogens. In addition, analytical methods for reducing potential biological

Solving Modern Crime in Financial Markets

Solving Modern Crime in Financial Markets
  • Author : Marius-Cristian Frunza
  • Publisher : Academic Press
  • Release : 09 December 2015
GET THIS BOOKSolving Modern Crime in Financial Markets

This comprehensive source of information about financial fraud delivers a mature approach to fraud detection and prevention. It brings together all important aspect of analytics used in investigating modern crime in financial markets and uses R for its statistical examples. It focuses on crime in financial markets as opposed to the financial industry, and it highlights technical aspects of crime detection and prevention as opposed to their qualitative aspects. For those with strong analytic skills, this book unleashes the usefulness

The Calibration of Rating Models

The Calibration of Rating Models
  • Author : Paul Markus Konrad
  • Publisher : Tectum Wissenschaftsverlag
  • Release : 29 January 2014
GET THIS BOOKThe Calibration of Rating Models

All across Europe, a drama of historical proportions is unfolding as the debt crisis continues to rock the worldwide financial landscape. Whilst insecurity rises, the general public, policy makers, scientists and academics are searching high and low for independent and objective analyses that may help to assess this unusual situation. For more than a century, rating agencies had developed methods and standards to evaluate and analyze companies, projects or even sovereign countries. However, due to their dated internal processes, the

Model Risk in Financial Markets

Model Risk in Financial Markets
  • Author : Radu Tunaru
  • Publisher : World Scientific
  • Release : 08 June 2015
GET THIS BOOKModel Risk in Financial Markets

The financial systems in most developed countries today build up a large amount of model risk on a daily basis. However, this is not particularly visible as the financial risk management agenda is still dominated by the subprime-liquidity crisis, the sovereign crises, and other major political events. Losses caused by model risk are hard to identify and even when they are internally identified, as such, they are most likely to be classified as normal losses due to market evolution. Model