The validation of risk models : a handbook for practitioners /

Saved in:
Bibliographic Details
Author / Creator:Scandizzo, Sergio, author.
Imprint:Houndmills, Basingstoke, Hampshire : Palgrave Macmillan, 2016.
Description:1 online resource
Language:English
Series:Applied quantitative finance series
Applied quantitative finance.
Subject:
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/11264303
Hidden Bibliographic Details
ISBN:9781137436962
1137436964
1137436956
9781137436955
Digital file characteristics:text file
PDF
Notes:Includes bibliographical references and index.
English.
Online resource; title from PDF title page (EBSCO, viewed August 4, 2016).
Summary: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.
Other form:Print version: Scandizzo, Sergio. Validation of risk models. Houndmills, Basingstoke, Hampshire : Palgrave Macmillan, 2016 9781137436955 1137436956
Standard no.:10.1057/9781137436962