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The Analytics of Risk Model Validation

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Title: The Analytics of Risk Model Validation
Description: 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 provide the first collection that focuses on the quantitative side of model validation. The book covers the three main areas of risk: Credit Risk and Market and Operational Risk.•Risk model validation is a requirement of Basel I and II •The first collection of papers in this new and developing area of research •International authors cover model validation in credit, market, and operational risk
Authors: George A. Christodoulakis, Stephen Satchell
Resource Type: eBook.
Subjects: Operational risk--Mathematical models, Risk management--Mathematical models
Categories: BUSINESS & ECONOMICS / Banks & Banking, BUSINESS & ECONOMICS / Investments & Securities / General
Database: eBook Collection (EBSCOhost)
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  – Type: ebook-pdf
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  Availability: 0
Header DbId: nlebk
DbLabel: eBook Collection (EBSCOhost)
An: 211526
RelevancyScore: 1018
AccessLevel: 6
PubType: eBook
PubTypeId: ebook
PreciseRelevancyScore: 1018.08020019531
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  Label: Title
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  Data: The Analytics of Risk Model Validation
– Name: Abstract
  Label: Description
  Group: Ab
  Data: 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 provide the first collection that focuses on the quantitative side of model validation. The book covers the three main areas of risk: Credit Risk and Market and Operational Risk.•Risk model validation is a requirement of Basel I and II •The first collection of papers in this new and developing area of research •International authors cover model validation in credit, market, and operational risk
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  Data: <searchLink fieldCode="AR" term="%22George+A%2E+Christodoulakis%22">George A. Christodoulakis</searchLink><br /><searchLink fieldCode="AR" term="%22Stephen+Satchell%22">Stephen Satchell</searchLink>
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  Data: eBook.
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  Data: <searchLink fieldCode="DE" term="%22Operational+risk--Mathematical+models%22">Operational risk--Mathematical models</searchLink><br /><searchLink fieldCode="DE" term="%22Risk+management--Mathematical+models%22">Risk management--Mathematical models</searchLink>
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RecordInfo BibRecord:
  BibEntity:
    Classifications:
      – Code: 658.155015118
        Scheme: ddc
        Type: prePub
    Languages:
      – Code: eng
        Text: English
    Subjects:
      – SubjectFull: Operational risk--Mathematical models
        Type: general
      – SubjectFull: Risk management--Mathematical models
        Type: general
    Titles:
      – TitleFull: The Analytics of Risk Model Validation
        Type: main
  BibRelationships:
    HasContributorRelationships:
      – PersonEntity:
          Name:
            NameFull: George A. Christodoulakis
      – PersonEntity:
          Name:
            NameFull: Stephen Satchell
      – PersonEntity:
          Name:
            NameFull: George A. Christodoulakis
      – PersonEntity:
          Name:
            NameFull: Stephen Satchell
    IsPartOfRelationships:
      – BibEntity:
          Dates:
            – D: 01
              M: 01
              Type: published
              Y: 2008
            – D: 04
              M: 02
              Type: profile
              Y: 2014
          Identifiers:
            – Type: isbn-print
              Value: 9780750681582
            – Type: isbn-electronic
              Value: 9780080553887
          Titles:
            – TitleFull: The Analytics of Risk Model Validation
              Type: main
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