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The Analytics of Risk Model Validation

2007-11-14 Business & Economics
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Release : 2007-11-14
Genre : Business & Economics
Kind : eBook
Book Rating : 885/5 ( reviews)

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Book Synopsis The Analytics of Risk Model Validation by : George A. Christodoulakis

Download or read book The Analytics of Risk Model Validation written by George A. Christodoulakis. This book was released on 2007-11-14. Available in PDF, EPUB and Kindle. Book excerpt: 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 Validation of Risk Models

2016-07-01 Business & Economics
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Release : 2016-07-01
Genre : Business & Economics
Kind : eBook
Book Rating : 964/5 ( reviews)

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Book Synopsis The Validation of Risk Models by : S. Scandizzo

Download or read book The Validation of Risk Models written by S. Scandizzo. This book was released on 2016-07-01. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Credit Risk Analytics

2016-10-03 Business & Economics
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Release : 2016-10-03
Genre : Business & Economics
Kind : eBook
Book Rating : 985/5 ( reviews)

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Book Synopsis Credit Risk Analytics by : Bart Baesens

Download or read book Credit Risk Analytics written by Bart Baesens. This book was released on 2016-10-03. Available in PDF, EPUB and Kindle. Book excerpt: 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 how to implement these concepts using the SAS credit risk management program, with helpful code provided. Coverage includes data analysis and preprocessing, credit scoring; PD and LGD estimation and forecasting, low default portfolios, correlation modeling and estimation, validation, implementation of prudential regulation, stress testing of existing modeling concepts, and more, to provide a one-stop tutorial and reference for credit risk analytics. The companion website offers examples of both real and simulated credit portfolio data to help you more easily implement the concepts discussed, and the expert author team provides practical insight on this real-world intersection of finance, statistics, and analytics. SAS is the preferred software for credit risk modeling due to its functionality and ability to process large amounts of data. This book shows you how to exploit the capabilities of this high-powered package to create clean, accurate credit risk management models. Understand the general concepts of credit risk management Validate and stress-test existing models Access working examples based on both real and simulated data Learn useful code for implementing and validating models in SAS Despite the high demand for in-house models, there is little comprehensive training available; practitioners are left to comb through piece-meal resources, executive training courses, and consultancies to cobble together the information they need. This book ends the search by providing a comprehensive, focused resource backed by expert guidance. Credit Risk Analytics is the reference every risk manager needs to streamline the modeling process.

Risk Model Validation

2016 Risk management
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Release : 2016
Genre : Risk management
Kind : eBook
Book Rating : 632/5 ( reviews)

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Book Synopsis Risk Model Validation by : Peter Quell

Download or read book Risk Model Validation written by Peter Quell. This book was released on 2016. Available in PDF, EPUB and Kindle. Book excerpt:

Understanding and Managing Model Risk

2011-10-20 Business & Economics
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Release : 2011-10-20
Genre : Business & Economics
Kind : eBook
Book Rating : 744/5 ( reviews)

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Book Synopsis Understanding and Managing Model Risk by : Massimo Morini

Download or read book Understanding and Managing Model Risk written by Massimo Morini. This book was released on 2011-10-20. Available in PDF, EPUB and Kindle. Book excerpt: 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 starts from regulatory issues, but translates them into practical suggestions to reduce the likelihood of model losses, basing model risk and validation on market experience and on a wide range of real-world examples, with a high level of detail and precise operative indications.

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