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The validation of risk modelsa handb...

Scandizzo, Sergio.

The validation of risk modelsa handbook for practitioners /

Record Type:	Electronic resources : Monograph/item
Title/Author:	The validation of risk modelsby Sergio Scandizzo.
Reminder of title:	a handbook for practitioners /
Author:	Scandizzo, Sergio.
Published:	London :Palgrave Macmillan UK :2016.
Description:	viii, 242 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
Subject:	Risk managementMathematical models.
Online resource:	http://dx.doi.org/10.1057/9781137436962
ISBN:	9781137436962$q(electronic bk.)

The validation of risk modelsa handbook for practitioners /
Scandizzo, Sergio.

The validation of risk modelsa handbook for practitioners /[electronic resource] :by Sergio Scandizzo. - London :Palgrave Macmillan UK :2016. - viii, 242 p. :ill., digital ;24 cm. - Applied quantitative finance series. - Applied quantitative finance series..

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 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$q(electronic bk.)

Standard No.: 10.1057/9781137436962doiSubjects--Topical Terms:

190592
Risk management
--Mathematical models.

LC Class. No.: HD61 / .S287 2016

Dewey Class. No.: 658.15501

The validation of risk modelsa handbook for practitioners /
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