The validation of risk models : a handbook for practitioners

• 作者： Scandizzo, Sergio, author.
• 其他作者：
  • SpringerLink (Online service)
• 其他題名：
  • Applied quantitative finance series.
• 出版： London : Palgrave Macmillan UK :Imprint: Palgrave Macmillan
• 叢書名： Applied quantitative finance series
• 主題： Risk management--Mathematical models. , Banks and banking--Mathematical models. , Investments--Mathematical models. , Corporations--Finance--Mathematical models. , Finance. , Risk Management. , Banking. , Corporate Finance. , Investments and Securities. , Business Finance.
• ISBN： 9781137436962 (electronic bk.) 、 9781137436955 (paper)
• FIND@SFXID: CGU
• 資料類型: 電子書
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• 摘要註: 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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