Overview
- 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
Part of the book series: Applied Quantitative Finance (AQF)
Access this book
Tax calculation will be finalised at checkout
Other ways to access
Table of contents (15 chapters)
-
Front Matter
-
Introduction: A Model Risk Primer
-
A Framework for Risk Model Validation
-
Front Matter
-
-
Credit Risk
-
Front Matter
-
-
Market Risk
-
Front Matter
-
-
Counterparty Credit Risk
-
Front Matter
-
-
Operational Risk
-
Front Matter
-
-
Pillar 2 Models
-
Front Matter
-
Keywords
About this book
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)
Authors and Affiliations
About the author
Bibliographic Information
Book Title: The Validation of Risk Models
Book Subtitle: A Handbook for Practitioners
Authors: Sergio Scandizzo
Series Title: Applied Quantitative Finance
DOI: https://doi.org/10.1057/9781137436962
Publisher: Palgrave Macmillan London
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s) 2016
Hardcover ISBN: 978-1-137-43695-5Published: 27 April 2016
eBook ISBN: 978-1-137-43696-2Published: 01 July 2016
Series ISSN: 2947-700X
Series E-ISSN: 2947-7018
Edition Number: 1
Number of Pages: VIII, 242
Topics: Risk Management, Banking, Corporate Finance, Investments and Securities, Business Finance