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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.

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

IFRS 9 and CECL Credit Risk Modelling and Validation

2019-02-08 Business & Economics
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Release : 2019-02-08
Genre : Business & Economics
Kind : eBook
Book Rating : 40X/5 ( reviews)

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Book Synopsis IFRS 9 and CECL Credit Risk Modelling and Validation by : Tiziano Bellini

Download or read book IFRS 9 and CECL Credit Risk Modelling and Validation written by Tiziano Bellini. This book was released on 2019-02-08. Available in PDF, EPUB and Kindle. Book excerpt: IFRS 9 and CECL Credit Risk Modelling and Validation covers a hot topic in risk management. Both IFRS 9 and CECL accounting standards require Banks to adopt a new perspective in assessing Expected Credit Losses. The book explores a wide range of models and corresponding validation procedures. The most traditional regression analyses pave the way to more innovative methods like machine learning, survival analysis, and competing risk modelling. Special attention is then devoted to scarce data and low default portfolios. A practical approach inspires the learning journey. In each section the theoretical dissertation is accompanied by Examples and Case Studies worked in R and SAS, the most widely used software packages used by practitioners in Credit Risk Management. Offers a broad survey that explains which models work best for mortgage, small business, cards, commercial real estate, commercial loans and other credit products Concentrates on specific aspects of the modelling process by focusing on lifetime estimates Provides an hands-on approach to enable readers to perform model development, validation and audit of credit risk models

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:

The Validation of Risk Models

2016-08-23 Business & Economics
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Release : 2016-08-23
Genre : Business & Economics
Kind : eBook
Book Rating : 529/5 ( 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 2016-08-23. Available in PDF, EPUB and Kindle. Book excerpt: 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.

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