Validation of Risk Management Models for Financial Institutions
Theory and Practice
Herausgeber: Lynch, David; Siddique, Akhtar; Hasan, Iftekhar
Validation of Risk Management Models for Financial Institutions
Theory and Practice
Herausgeber: Lynch, David; Siddique, Akhtar; Hasan, Iftekhar
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"This book is about the purpose of model validation which is to identify and communicate strengths and weaknesses of a given quantitative approach, and to determine whether the model is appropriate for its intended and actual use"--
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"This book is about the purpose of model validation which is to identify and communicate strengths and weaknesses of a given quantitative approach, and to determine whether the model is appropriate for its intended and actual use"--
Produktdetails
- Produktdetails
- Verlag: European Community
- Seitenzahl: 400
- Erscheinungstermin: 9. März 2023
- Englisch
- Abmessung: 229mm x 152mm x 27mm
- Gewicht: 821g
- ISBN-13: 9781108497350
- ISBN-10: 1108497357
- Artikelnr.: 65566247
- Verlag: European Community
- Seitenzahl: 400
- Erscheinungstermin: 9. März 2023
- Englisch
- Abmessung: 229mm x 152mm x 27mm
- Gewicht: 821g
- ISBN-13: 9781108497350
- ISBN-10: 1108497357
- Artikelnr.: 65566247
1. Common elements in validation of risk models used in financial
institutions Iftekhar Hasan, David Lynch and Akhtar Siddique; 2. Validating
bank holding companies value at risk models for market risk David Lynch; 3.
A conditional testing approach for VaR model performance evaluation Victor
Ng; 4. Beyond exceedance based backtesting of value at risk models Diana
Iercosan, Alysa Scherbakova, David McArthur and Rebecca Alber; 5.
Evaluation of value at risk models: an empirical likelihood approach David
Lynch, Valerio Poti, Akhtar Siddique and Francesco Campobasso; 6.
Evaluating banks' value at risk models during the COVID-19 crisis Chris
Anderson and Dennis Mawhirter; 7. Performance monitoring for supervisory
stress-testing models Nick Klagge and Jose A. Lopez; 8. Counterparty credit
risk Eduardo Canabarro; 9. Validation of retail credit risk models Sang-Sub
Lee and Feng Li; 10. Issues in the validation of wholesale credit risk
models Jonathan Jones and Debashish Sarkar; 11. Case studies in wholesale
risk model validation Debashish Sarkar; 12. Validation of models used by
banks to estimate their allowance for loan and lease losses Partha
Sengupta; 13. Modeling operational risk Filippo Curti, Marco Migueis and
Robert Stewart; 14. Statistical decisioning for compliance risk management
Bhojnarine R. Rambharat; 15. Validation of risk aggregation in economic
capital models Ibrahim Ergen, Hulusi Inanoglu and David Lynch; 16. Model
validation of interest rate risk (Banking Book) models Ashish Dev; 17.
Validation of risk management models in investment management Akhtar
Siddique.
institutions Iftekhar Hasan, David Lynch and Akhtar Siddique; 2. Validating
bank holding companies value at risk models for market risk David Lynch; 3.
A conditional testing approach for VaR model performance evaluation Victor
Ng; 4. Beyond exceedance based backtesting of value at risk models Diana
Iercosan, Alysa Scherbakova, David McArthur and Rebecca Alber; 5.
Evaluation of value at risk models: an empirical likelihood approach David
Lynch, Valerio Poti, Akhtar Siddique and Francesco Campobasso; 6.
Evaluating banks' value at risk models during the COVID-19 crisis Chris
Anderson and Dennis Mawhirter; 7. Performance monitoring for supervisory
stress-testing models Nick Klagge and Jose A. Lopez; 8. Counterparty credit
risk Eduardo Canabarro; 9. Validation of retail credit risk models Sang-Sub
Lee and Feng Li; 10. Issues in the validation of wholesale credit risk
models Jonathan Jones and Debashish Sarkar; 11. Case studies in wholesale
risk model validation Debashish Sarkar; 12. Validation of models used by
banks to estimate their allowance for loan and lease losses Partha
Sengupta; 13. Modeling operational risk Filippo Curti, Marco Migueis and
Robert Stewart; 14. Statistical decisioning for compliance risk management
Bhojnarine R. Rambharat; 15. Validation of risk aggregation in economic
capital models Ibrahim Ergen, Hulusi Inanoglu and David Lynch; 16. Model
validation of interest rate risk (Banking Book) models Ashish Dev; 17.
Validation of risk management models in investment management Akhtar
Siddique.
1. Common elements in validation of risk models used in financial
institutions Iftekhar Hasan, David Lynch and Akhtar Siddique; 2. Validating
bank holding companies value at risk models for market risk David Lynch; 3.
A conditional testing approach for VaR model performance evaluation Victor
Ng; 4. Beyond exceedance based backtesting of value at risk models Diana
Iercosan, Alysa Scherbakova, David McArthur and Rebecca Alber; 5.
Evaluation of value at risk models: an empirical likelihood approach David
Lynch, Valerio Poti, Akhtar Siddique and Francesco Campobasso; 6.
Evaluating banks' value at risk models during the COVID-19 crisis Chris
Anderson and Dennis Mawhirter; 7. Performance monitoring for supervisory
stress-testing models Nick Klagge and Jose A. Lopez; 8. Counterparty credit
risk Eduardo Canabarro; 9. Validation of retail credit risk models Sang-Sub
Lee and Feng Li; 10. Issues in the validation of wholesale credit risk
models Jonathan Jones and Debashish Sarkar; 11. Case studies in wholesale
risk model validation Debashish Sarkar; 12. Validation of models used by
banks to estimate their allowance for loan and lease losses Partha
Sengupta; 13. Modeling operational risk Filippo Curti, Marco Migueis and
Robert Stewart; 14. Statistical decisioning for compliance risk management
Bhojnarine R. Rambharat; 15. Validation of risk aggregation in economic
capital models Ibrahim Ergen, Hulusi Inanoglu and David Lynch; 16. Model
validation of interest rate risk (Banking Book) models Ashish Dev; 17.
Validation of risk management models in investment management Akhtar
Siddique.
institutions Iftekhar Hasan, David Lynch and Akhtar Siddique; 2. Validating
bank holding companies value at risk models for market risk David Lynch; 3.
A conditional testing approach for VaR model performance evaluation Victor
Ng; 4. Beyond exceedance based backtesting of value at risk models Diana
Iercosan, Alysa Scherbakova, David McArthur and Rebecca Alber; 5.
Evaluation of value at risk models: an empirical likelihood approach David
Lynch, Valerio Poti, Akhtar Siddique and Francesco Campobasso; 6.
Evaluating banks' value at risk models during the COVID-19 crisis Chris
Anderson and Dennis Mawhirter; 7. Performance monitoring for supervisory
stress-testing models Nick Klagge and Jose A. Lopez; 8. Counterparty credit
risk Eduardo Canabarro; 9. Validation of retail credit risk models Sang-Sub
Lee and Feng Li; 10. Issues in the validation of wholesale credit risk
models Jonathan Jones and Debashish Sarkar; 11. Case studies in wholesale
risk model validation Debashish Sarkar; 12. Validation of models used by
banks to estimate their allowance for loan and lease losses Partha
Sengupta; 13. Modeling operational risk Filippo Curti, Marco Migueis and
Robert Stewart; 14. Statistical decisioning for compliance risk management
Bhojnarine R. Rambharat; 15. Validation of risk aggregation in economic
capital models Ibrahim Ergen, Hulusi Inanoglu and David Lynch; 16. Model
validation of interest rate risk (Banking Book) models Ashish Dev; 17.
Validation of risk management models in investment management Akhtar
Siddique.