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The Validation of Risk Models S. Scandizzo

The Validation of Risk Models By S. Scandizzo

The Validation of Risk Models by S. Scandizzo

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Summary

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 Summary

The Validation of Risk Models: A Handbook for Practitioners by S. Scandizzo

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.

About S. Scandizzo

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.

Table of Contents

Introduction: A Model Risk Primer
PARTI: A FRAMEWORK FOR RISK MODEL VALIDATION
1. Validation, governance and supervision
2. A validation framework for risk models
PARTII: CREDIT RISK
3. Credit risk models
4. Probability of default models
5. Loss Given Default models
6. Exposure at Default models
PARTIII: MARKET RISK
7. Value at risk models
8. Interest rate risk on the banking book
PARTIV: COUNTERPARTY CREDIT RISK
9. Counterparty Credit Risk Models
PARTV: OPERATIONAL RISK
10. The validation of AMA models
11. Use test for operational risk
PARTVI: PILLAR 2 MODELS
12. Economic capital models
13. Stress testing models
14. Conclusion


Additional information

NPB9781137436955
9781137436955
1137436956
The Validation of Risk Models: A Handbook for Practitioners by S. Scandizzo
S. Scandizzo
Applied Quantitative Finance
New
Hardback
Palgrave Macmillan
2016-04-27
242
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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