The Analytics of Risk Model Validation Books

Click Get Book Button To Download or read online The Analytics of Risk Model Validation books, Available in PDF, ePub, Tuebl and Kindle. This site is like a library, Use search box in the widget to get ebook that you want.

The Analytics of Risk Model Validation


The Analytics of Risk Model Validation
  • Author : George A. Christodoulakis
  • Publisher : Elsevier
  • Release : 2007-11-14
  • ISBN : 0080553885
  • Language : En, Es, Fr & De
GET BOOK

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

The Analytics of Risk Model Validation


The Analytics of Risk Model Validation
  • Author : George A. Christodoulakis
  • Publisher : Academic Press
  • Release : 2007-11-28
  • ISBN : 0750681586
  • Language : En, Es, Fr & De
GET BOOK

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

Credit Risk Analytics


Credit Risk Analytics
  • Author : Bart Baesens
  • Publisher : John Wiley & Sons
  • Release : 2016-10-03
  • ISBN : 9781119143987
  • Language : En, Es, Fr & De
GET BOOK

The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management. Combining theory with practice, this book walks you through the fundamentals of credit risk management and shows you how to implement these concepts using the SAS credit risk management program, with helpful code provided. Coverage includes data analysis and preprocessing, credit scoring; PD and LGD estimation and forecasting, low default portfolios, correlation modeling and estimation, validation, implementation of prudential regulation, stress testing of existing modeling concepts, and more, to provide a one-stop tutorial and reference for credit risk analytics. The companion website offers examples of both real and simulated credit portfolio data to help you more easily implement the concepts discussed, and the expert author team provides practical insight on this real-world intersection of finance, statistics, and analytics. SAS is the preferred software for credit risk modeling due to its functionality and ability to process large amounts of data. This book shows you how to exploit the capabilities of this high-powered package to create clean, accurate credit risk management models. Understand the general concepts of credit risk management Validate and stress-test existing models Access working examples based on both real and simulated data Learn useful code for implementing and validating models in SAS Despite the high demand for in-house models, there is little comprehensive training available; practitioners are left to comb through piece-meal resources, executive training courses, and consultancies to cobble together the information they need. This book ends the search by providing a comprehensive, focused resource backed by expert guidance. Credit Risk Analytics is the reference every risk manager needs to streamline the modeling process.

The Validation of Risk Models


The Validation of Risk Models
  • Author : S. Scandizzo
  • Publisher : Springer
  • Release : 2016-07-01
  • ISBN : 9781137436962
  • Language : En, Es, Fr & De
GET BOOK

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.

Risk Model Validation


Risk Model Validation
  • Author : Peter Quell
  • Publisher :
  • Release : 2016
  • ISBN : 1782722637
  • Language : En, Es, Fr & De
GET BOOK