The Validation of Risk Models: A Handbook for Practitioners (Applied Quantitative Finance) - Tapa dura

Libro 12 de 14: Applied Quantitative Finance

Scandizzo, S.

 
9781137436955: The Validation of Risk Models: A Handbook for Practitioners (Applied Quantitative Finance)
Tapa dura
ISBN 10: 1137436956 ISBN 13: 9781137436955
Editorial: Palgrave Macmillan, 2016

Sinopsis

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.

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Acerca del autor

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.

De la contraportada

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.

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Editorial
Palgrave Macmillan
Año de publicación
2016
Idioma
Inglés
ISBN 10 
1137436956
ISBN 13 
9781137436955
Encuadernación
Tapa dura
Número de edición
1
Número de páginas
252
Contacto del fabricante
ProductSafety@springernature.com
ProductSafety@springernature.com

Poststr. 9
Darmstadt
64293
Alemania

Otras ediciones populares con el mismo título

9781349683529: The Validation of Risk Models: A Handbook for Practitioners (Applied Quantitative Finance)

Edición Destacada

ISBN 10:  1349683523 ISBN 13:  9781349683529
Editorial: Palgrave Macmillan, 2016
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