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Scandizzo, Sergio

The Validation of Risk Models

Scandizzo, Sergio - The Validation of Risk Models, ebook

124,40€

Ebook, PDF with Adobe DRM
ISBN: 9781137436962
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Table of contents

1. Introduction: A Model Risk Primer
Sergio Scandizzo

Part I. A Framework for Risk Model Validation

2. Validation, Governance and Supervision
Sergio Scandizzo

3. A Validation Framework for Risk Models
Sergio Scandizzo

Part II. Credit Risk

4. Credit Risk Models
Sergio Scandizzo

5. Probability of Default Models
Sergio Scandizzo

6. Loss Given Default Models
Sergio Scandizzo

7. Exposure at Default Models
Sergio Scandizzo

Part III. Market Risk

8. Value at Risk Models
Sergio Scandizzo

9. Interest Rate Risk on the Banking Book
Sergio Scandizzo

Part IV. Counterparty Credit Risk

10. Counterparty Credit Risk Models
Sergio Scandizzo

Part V. Operational Risk

11. The Validation of AMA Models
Sergio Scandizzo

12. Model Implementation and Use Test in Operational Risk
Sergio Scandizzo

Part VI. Pillar 2 Models

13. Economic Capital Models
Sergio Scandizzo

14. Stress Testing Models
Sergio Scandizzo

15. Conclusion: A Model for Measuring Model Risk
Sergio Scandizzo

Keywords: Finance, Risk Management, Banking, Corporate Finance, Investments and Securities, Business Finance

Author(s)
Publisher
Springer
Publication year
2016
Language
en
Edition
1
Series
Applied Quantitative Finance series
Page amount
250 pages
Category
Economy
Format
Ebook
eISBN (PDF)
9781137436962
Printed ISBN
978-1-137-43695-5

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