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The Validation of Risk Models = A Ha...
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Scandizzo, S.
The Validation of Risk Models = A Handbook for Practitioners /
紀錄類型:
書目-語言資料,印刷品 : Monograph/item
正題名/作者:
The Validation of Risk Models/ by S. Scandizzo.
其他題名:
A Handbook for Practitioners /
作者:
Scandizzo, S.
面頁冊數:
VIII, 242 p.online resource. :
Contained By:
Springer Nature eBook
標題:
Risk management. -
電子資源:
https://doi.org/10.1057/9781137436962
ISBN:
9781137436962
The Validation of Risk Models = A Handbook for Practitioners /
Scandizzo, S.
The Validation of Risk Models
A Handbook for Practitioners /[electronic resource] :by S. Scandizzo. - 1st ed. 2016. - VIII, 242 p.online resource. - Applied Quantitative Finance. - Applied Quantitative Finance.
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.
ISBN: 9781137436962
Standard No.: 10.1057/9781137436962doiSubjects--Topical Terms:
559158
Risk management.
LC Class. No.: HD61
Dewey Class. No.: 658.155
The Validation of Risk Models = A Handbook for Practitioners /
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