The Validation of Risk Models : A Handbook for Practitioners

Language: English

Published by Palgrave Macmillan, 2016

1137436956 / 9781137436955

Series: Book 12 of 14 - Applied Quantitative Finance

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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nach der Bestellung gedruckt Neuware - Printed after ordering - 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 sophisticated 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 of these 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.

Seller Inventory # 9781137436955

Title
The Validation of Risk Models : A Handbook for Practitioners
Author
S. Scandizzo
Publisher
Palgrave Macmillan
Publication year
2016
Condition
Neu
Binding
Buch
Language
English
ISBN 10
1137436956
ISBN 13
9781137436955
Item weight
547 grams
Dimensions
241x160x20 mm
Series
Book 12 of 14: Applied Quantitative Finance

AHA-BUCH GmbH

Einbeck, Germany

5-star seller

AbeBooks seller since August 14, 2006

Shipping rates from Germany to U.S.A.

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