Scandizzo, Sergio
The Validation of Risk Models
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)
- Scandizzo, Sergio
- 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