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The validation of risk models[electronic resource] :a handbook for practitioners /

紀錄類型:	書目-電子資源 : Monograph/item
杜威分類號:	658.15501
書名/作者:	The validation of risk models : a handbook for practitioners // by Sergio Scandizzo.
作者:	Scandizzo, Sergio.
出版者:	London : : Palgrave Macmillan UK :, 2016.
面頁冊數:	viii, 242 p. : : ill., digital ;; 24 cm.
Contained By:	Springer eBooks
標題:	Risk management - Mathematical models.
標題:	Banks and banking - Mathematical models.
標題:	Investments - Mathematical models.
標題:	Corporations - Finance
標題:	Finance.
標題:	Risk Management.
標題:	Banking.
標題:	Corporate Finance.
標題:	Investments and Securities.
標題:	Business Finance.
ISBN:	9781137436962
ISBN:	9781137436955
摘要、提要註:	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.
電子資源:	http://dx.doi.org/10.1057/9781137436962

The validation of risk models[electronic resource] :a handbook for practitioners /
Scandizzo, Sergio.

The validation of risk modelsa handbook for practitioners /[electronic resource] :by Sergio Scandizzo. - London :Palgrave Macmillan UK :2016. - viii, 242 p. :ill., digital ;24 cm. - Applied quantitative finance series. - Applied quantitative finance series..

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.

ISBN: 9781137436962

Standard No.: 10.1057/9781137436962doiSubjects--Topical Terms:

367082
Risk management
--Mathematical models.

LC Class. No.: HD61 / .S287 2016

Dewey Class. No.: 658.15501

The validation of risk models[electronic resource] :a handbook for practitioners /
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