The Validation of Risk Models (eBook)

A Handbook for Practitioners

S. Scandizzo (Autor)

eBook Download: PDF

2016 | 1st ed. 2016
VIII, 242 Seiten
Palgrave Macmillan UK (Verlag)
978-1-137-43696-2 (ISBN)

Infos

The practice of quantitative risk management has reached unprecedented levels of refinement. 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 advanced 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 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.

Sergio Scandizzo is 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 was recognized as one of the 'Top 50' Face of Operational Risk by OpRisk & Compliance Magazine. He has published several journal papers on fuzzy logic, genetic algorithms and risk management. Before joining the EIB he was a principal in the London office of PricewaterhouseCoopers and, prior to that, a senior manager in the Operational Risk Group at the Canadian Imperial Bank of Commerce in Toronto. He studied in Italy and the United States and holds master degrees in computer science and finance. His website is www.sergioscandizzo.com.

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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.

Autor

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.

Inhalt

Introduction: A Model Risk PrimerPART I: A FRAMEWORK FOR RISK MODEL VALIDATION1. Validation, governance and supervision 2. A validation framework for risk modelsPART II: CREDIT RISK3. Credit risk models4. Probability of default models5. Loss Given Default models6. Exposure at Default modelsPART III: MARKET RISK7. Value at risk models8. Interest rate risk on the banking bookPART IV: COUNTERPARTY CREDIT RISK9. Counterparty Credit Risk ModelsPART V: OPERATIONAL RISK10. The validation of AMA models11. Use test for operational riskPART VI: PILLAR 2 MODELS12. Economic capital models13. Stress testing models14. Conclusion

Produkt-Details

• Erscheint lt. Verlag: 1.7.2016
• Reihe/Serie: Applied Quantitative Finance
• Reihe/Serie: Applied Quantitative Finance
• Zusatzinfo: VIII, 242 p.
• Verlagsort: London
• Sprache: englisch
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management
• Schlagworte: Bank • bank governance • Banking • credit risk • Derivatives • Hedging • Investments and Securities • market risk • Operational Risk • Risk Management • risk models
• ISBN-10: 1-137-43696-4 / 1137436964
• ISBN-13: 978-1-137-43696-2 / 9781137436962