Every Humanities eBook is 40% off! Stock up today >>

Applied Quantitative Finance

The Validation of Risk Models

A Handbook for Practitioners

Authors: Scandizzo, S.

  • Fully uptodate: It will be entirely focused on the models used in today's risk management practice and as such will constitute a onestopshop for professionals involved in the validation of risk management models
  • Comprehensive: It will be comprehensive: it will cover the whole spectrum of risks, across the technical (market, credit, operational, liquidity, counterparty, etc.) as well as the regulatory categories (Basel Accord II, 2.5, III, Pillar 1, Pillar
  • Market focussed: this will be a practical manual showing how things are actually done in practice both in terms of processes to be set up for validation and in terms of tools and techniques, with a special focus on practical challenges and solutions
see more benefits

Buy this book

eBook $84.99
price for USA (gross)
  • ISBN 978-1-137-43696-2
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $109.00
price for USA
  • ISBN 978-1-137-43695-5
  • Free shipping for individuals worldwide
  • Online orders shipping within 2-3 days.
About this book

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.

About the authors

Sergio Scandizzo is the Head of Model Validation at the European Investment Bank (EIB) in Luxembourg. He is the author of Risk and Governance: A Framework for Banking Organisations; The Operational Risk Manager's Guide, now in its second edition, and of Validation and Use Test in AMA. He is Associate Editor of The Journal of Operational Risk and has published several journal papers on fuzzy logic, genetic algorithms and risk management.

Reviews

“A book that sheds a required and well-timed light on the perpetual debate, inside any organisation, between risk validation of model, models for risk validation and model risk.  The tools and techniques proposed are valid not only for practitioners working within regulated entities but for all the risk managers in search of a guide into the model validation’s definition and best practices.” (Cosimo Pacciani, Chief Risk Officer, European Stability Mechanism)

“This book is a very useful reference for professionals and ought to be a core text book for every professional in charge of risk models or their validation. It is well written and explains the nature of model risks in finance, introduces a framework for risk model validation and provides further illustrations for specific type of risks and risk measurement approaches. A distinctive feature of this book is its focus on practical challenges most practitioners may have already come across together with a sound reference to finance theory. There is no book I am aware of that covers risk model validation in that practical and comprehensive manner.” (Sven Muehlenbrock, Partner, Head of Risk Advisory, KPMG Luxembourg)

Table of contents (15 chapters)

Buy this book

eBook $84.99
price for USA (gross)
  • ISBN 978-1-137-43696-2
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $109.00
price for USA
  • ISBN 978-1-137-43695-5
  • Free shipping for individuals worldwide
  • Online orders shipping within 2-3 days.
Loading...

Bibliographic Information

Bibliographic Information
Book Title
The Validation of Risk Models
Book Subtitle
A Handbook for Practitioners
Authors
Series Title
Applied Quantitative Finance
Copyright
2016
Publisher
Palgrave Macmillan UK
Copyright Holder
The Editor(s) (if applicable) and The Author(s)
eBook ISBN
978-1-137-43696-2
DOI
10.1057/9781137436962
Hardcover ISBN
978-1-137-43695-5
Edition Number
1
Number of Pages
VIII, 242
Topics