Sie sind bereits eingeloggt. Klicken Sie auf 2. tolino select Abo, um fortzufahren.
Bitte loggen Sie sich zunächst in Ihr Kundenkonto ein oder registrieren Sie sich bei bücher.de, um das eBook-Abo tolino select nutzen zu können.
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.
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.
Sergio Scandizzo is the Head of Model Validation at the European Investment Bank (EIB) in Luxembourg. He is the author of Risk and Governance: A Framework for Banking Organisations; The Operational Risk Manager's Guide, now in its second edition, and of Validation and Use Test in AMA. He is Associate Editor of The Journal of Operational Risk and has published several journal papers on fuzzy logic, genetic algorithms and risk management.
Inhaltsangabe
Introduction: A Model Risk Primer PART I: A FRAMEWORK FOR RISK MODEL VALIDATION 1. Validation, governance and supervision 2. A validation framework for risk models PART II: CREDIT RISK 3. Credit risk models 4. Probability of default models 5. Loss Given Default models 6. Exposure at Default models PART III: MARKET RISK 7. Value at risk models 8. Interest rate risk on the banking book PART IV: COUNTERPARTY CREDIT RISK 9. Counterparty Credit Risk Models PART V: OPERATIONAL RISK 10. The validation of AMA models 11. Use test for operational risk PART VI: PILLAR 2 MODELS 12. Economic capital models 13. Stress testing models 14. Conclusion
Introduction: A Model Risk Primer PART I: A FRAMEWORK FOR RISK MODEL VALIDATION 1. Validation, governance and supervision 2. A validation framework for risk models PART II: CREDIT RISK 3. Credit risk models 4. Probability of default models 5. Loss Given Default models 6. Exposure at Default models PART III: MARKET RISK 7. Value at risk models 8. Interest rate risk on the banking book PART IV: COUNTERPARTY CREDIT RISK 9. Counterparty Credit Risk Models PART V: OPERATIONAL RISK 10. The validation of AMA models 11. Use test for operational risk PART VI: PILLAR 2 MODELS 12. Economic capital models 13. Stress testing models 14. Conclusion
Introduction: A Model Risk Primer PART I: A FRAMEWORK FOR RISK MODEL VALIDATION 1. Validation, governance and supervision 2. A validation framework for risk models PART II: CREDIT RISK 3. Credit risk models 4. Probability of default models 5. Loss Given Default models 6. Exposure at Default models PART III: MARKET RISK 7. Value at risk models 8. Interest rate risk on the banking book PART IV: COUNTERPARTY CREDIT RISK 9. Counterparty Credit Risk Models PART V: OPERATIONAL RISK 10. The validation of AMA models 11. Use test for operational risk PART VI: PILLAR 2 MODELS 12. Economic capital models 13. Stress testing models 14. Conclusion
Introduction: A Model Risk Primer PART I: A FRAMEWORK FOR RISK MODEL VALIDATION 1. Validation, governance and supervision 2. A validation framework for risk models PART II: CREDIT RISK 3. Credit risk models 4. Probability of default models 5. Loss Given Default models 6. Exposure at Default models PART III: MARKET RISK 7. Value at risk models 8. Interest rate risk on the banking book PART IV: COUNTERPARTY CREDIT RISK 9. Counterparty Credit Risk Models PART V: OPERATIONAL RISK 10. The validation of AMA models 11. Use test for operational risk PART VI: PILLAR 2 MODELS 12. Economic capital models 13. Stress testing models 14. Conclusion
Es gelten unsere Allgemeinen Geschäftsbedingungen: www.buecher.de/agb
Impressum
www.buecher.de ist ein Shop der buecher.de GmbH & Co. KG Bürgermeister-Wegele-Str. 12, 86167 Augsburg Amtsgericht Augsburg HRA 13309
