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The analytics of risk model validation /
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...
| Clasificación: | Libro Electrónico |
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| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Amsterdam ; Boston :
Elsevier/Academic Press,
2008.
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| Edición: | 1st ed. |
| Colección: | Elsevier finance.
Quantitative finance series. |
| Temas: | |
| Acceso en línea: | Texto completo Texto completo |
| Sumario: | 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 prov. |
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| Descripción Física: | 1 online resource (1 volume) |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9780080553887 0080553885 6611071504 9786611071509 1281071501 9781281071507 |