The Analytics of Risk Model Validation

Written By George A. Christodoulakis
The Analytics of Risk Model Validation
  • Publsiher : Elsevier
  • Release : 14 November 2007
  • ISBN : 9780080553887
  • Pages : 216 pages
  • Rating : /5 from reviews
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Download or read book entitled The Analytics of Risk Model Validation by author: George A. Christodoulakis which was release on 14 November 2007 and published by Elsevier with total page 216 pages . This book available in PDF, EPUB and Kindle Format. Risk model validation is an emerging and important area of research, and has arisen because of Basel I and II. These regulatory initiatives require trading institutions and lending institutions to compute their reserve capital in a highly analytic way, based on the use of internal risk models. It is part of the regulatory structure that these risk models be validated both internally and externally, and there is a great shortage of information as to best practise. Editors Christodoulakis and Satchell collect papers that are beginning to appear by regulators, consultants, and academics, to provide the first collection that focuses on the quantitative side of model validation. The book covers the three main areas of risk: Credit Risk and Market and Operational Risk. *Risk model validation is a requirement of Basel I and II *The first collection of papers in this new and developing area of research *International authors cover model validation in credit, market, and operational risk

The Analytics of Risk Model Validation

The Analytics of Risk Model Validation
  • Author : George A. Christodoulakis,Stephen Satchell
  • Publisher : Elsevier
  • Release Date : 2007-11-14
  • Total pages : 216
  • ISBN : 9780080553887
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Summary : Risk model validation is an emerging and important area of research, and has arisen because of Basel I and II. These regulatory initiatives require trading institutions and lending institutions to compute their reserve capital in a highly analytic way, based on the use of internal risk models. It is part ...

The Validation of Risk Models

The Validation of Risk Models
  • Author : S. Scandizzo
  • Publisher : Palgrave Macmillan
  • Release Date : 2016-04-27
  • Total pages : 242
  • ISBN : 9780080553887
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Summary : 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 ...

The Validation of Risk Models

The Validation of Risk Models
  • Author : S. Scandizzo
  • Publisher : Springer
  • Release Date : 2016-07-01
  • Total pages : 242
  • ISBN : 9780080553887
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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....

Understanding and Managing Model Risk

Understanding and Managing Model Risk
  • Author : Massimo Morini
  • Publisher : John Wiley & Sons
  • Release Date : 2011-10-20
  • Total pages : 352
  • ISBN : 9780080553887
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Summary : A guide to the validation and risk management of quantitative models used for pricing and hedging Whereas the majority of quantitative finance books focus on mathematics and risk management books focus on regulatory aspects, this book addresses the elements missed by this literature--the risks of the models themselves. This book ...

Credit Risk Analytics

Credit Risk Analytics
  • Author : Bart Baesens,Daniel Roesch,Harald Scheule
  • Publisher : John Wiley & Sons
  • Release Date : 2016-10-03
  • Total pages : 512
  • ISBN : 9780080553887
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Summary : The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management. Combining theory with practice, this book walks you through the fundamentals of credit risk management and shows you ...

Credit Risk Analytics

Credit Risk Analytics
  • Author : Harald Scheule
  • Publisher : Createspace Independent Publishing Platform
  • Release Date : 2017-11-23
  • Total pages : 264
  • ISBN : 9780080553887
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Summary : Credit risk analytics in R will enable you to build credit risk models from start to finish. Accessing real credit data via the accompanying website www.creditriskanalytics.net, you will master a wide range of applications, including building your own PD, LGD and EAD models as well as mastering industry ...

Risk

Risk
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2007-07
  • Total pages : 212
  • ISBN : 9780080553887
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Summary : Read online Risk written by , published by which was released on 2007-07. Download full Risk Books now! Available in PDF, ePub and Kindle....

Credit Risk Modelling

Credit Risk Modelling
  • Author : Michael B. Gordy
  • Publisher : Unknown
  • Release Date : 2003
  • Total pages : 278
  • ISBN : 9780080553887
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Summary : A unique volume that brings together the most innovative and instrumental papers on credit risk modelling to reflect the major developments to date. This volume also focuses on the influences that are currently shaping the industry....

Credit Risk Modelling

Credit Risk Modelling
  • Author : Basle Committee on Banking Supervision
  • Publisher : Unknown
  • Release Date : 1999
  • Total pages : 62
  • ISBN : 9780080553887
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Summary : Read online Credit Risk Modelling written by Basle Committee on Banking Supervision, published by which was released on 1999. Download full Credit Risk Modelling Books now! Available in PDF, ePub and Kindle....

Managing Risks in the European Periphery Debt Crisis

Managing Risks in the European Periphery Debt Crisis
  • Author : G. Christodoulakis
  • Publisher : Springer
  • Release Date : 2014-12-23
  • Total pages : 275
  • ISBN : 9780080553887
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Summary : The European Periphery Debt Crisis (EPDC) has its roots in the structural characteristics of the individual economies affected. This book offers a full diagnosis of the EPDC, its association to the national and international structural characteristics and a full analysis from a risk management point of view of the available ...

Analytical Techniques in the Assessment of Credit Risk

Analytical Techniques in the Assessment of Credit Risk
  • Author : Michalis Doumpos,Christos Lemonakis,Dimitrios Niklis,Constantin Zopounidis
  • Publisher : Springer
  • Release Date : 2018-09-29
  • Total pages : 111
  • ISBN : 9780080553887
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Summary : This book provides a unique, focused introduction to the analytical skills, methods and techniques in the assessment of credit risk that are necessary to tackle and analyze complex credit problems. It employs models and techniques from operations research and management science to investigate more closely risk models for applications within ...

Risk Management in Banking

Risk Management in Banking
  • Author : Joël Bessis
  • Publisher : John Wiley & Sons Incorporated
  • Release Date : 2010
  • Total pages : 821
  • ISBN : 9780080553887
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Summary : This book examines all aspects of financial risk management in banking - from global considerations to the fundamental aspects of the management of a particular profit centre. It deals with the very latest techniques including value at risk....

Alan Yu PH D Quant Focus on Financial Models for Investment Valuation and Risk Management

Alan Yu  PH D   Quant  Focus on Financial Models for Investment  Valuation  and Risk Management
  • Author : Alex Medvedev,Ronald Russell
  • Publisher : Unknown
  • Release Date : 2016-10-05
  • Total pages : 212
  • ISBN : 9780080553887
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Summary : Biography of Alan Yu, Ph.D., Quant, currently Senior Model Risk Specialist, Model Risk Validation at BMO Financial Group, previously Manager, Model Validation & Approval at Scotiabank and Quantitative Analyst, Global Analytics and Financial Engineering at Scotiabank....

Credit Risk Analytics

Credit Risk Analytics
  • Author : Bart Baesens,Daniel Roesch,Harald Scheule
  • Publisher : Unknown
  • Release Date : 2016
  • Total pages : 212
  • ISBN : 9780080553887
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Summary : The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management. Combining theory with practice, this book walks you through the fundamentals of credit risk management and shows you ...

The Basel Handbook

The Basel Handbook
  • Author : Michael K. Ong
  • Publisher : Unknown
  • Release Date : 2007
  • Total pages : 661
  • ISBN : 9780080553887
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Summary : Now in its second edition, this bestselling handbook has been fully updated and expanded in light of important changes to the new Basel II Accord such as: the asset classes required under Pillar 1, the new required elements for capital adequacy and the minimum capital requirements for securitization and operational risk, ...