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The validation of risk models : a handbook for practitioners /
The practice of quantitative risk management has reached unprecedented levels of sophistication. 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 sophistica...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Houndmills, Basingstoke, Hampshire :
Palgrave Macmillan,
2016.
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| Colección: | Applied quantitative finance.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover ; Half Title ; Title Page; Copyright Page ; Table of Contents; List of Figures; List of Tables; Acknowledgements; Introduction: A Model Risk Primer; Part I A Framework for Risk Model Validation; 1 Validation, Governance and Supervision; 2 A Validation Framework forRisk Models; Part II Credit Risk; 3 Credit Risk Models; 4 Probability of Default Models; 5 Loss Given Default Models; 6 Exposure at Default Models; Part III Market Risk; 7 Value at Risk Models; 8 Interest Rate Risk on the Banking Book; Part IV Counterparty Credit Risk; 9 Counterparty Credit Risk Models.
- Part V Operational Risk10 The Validation of AMA Models; 11 Model Implementation and Use Test in Operational Risk; Part VI Pillar 2 Models; 12 Economic Capital Models; 13 Stress Testing Models; 14 Conclusion: A Model for Measuring Model Risk; Index.