The Analytics of Risk Model Validation (ePub)
(Sprache: Englisch)
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,...
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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
*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
Autoren-Porträt
Stephen Satchell is a Fellow of Trinity College, the Reader in Financial Econometrics at the University of Cambridge and Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk.
Bibliographische Angaben
- 2007, 216 Seiten, Englisch
- Herausgegeben: George A. Christodoulakis, Stephen Satchell
- Verlag: Elsevier Science & Techn.
- ISBN-10: 0080553885
- ISBN-13: 9780080553887
- Erscheinungsdatum: 14.11.2007
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eBook Informationen
- Dateiformat: ePub
- Größe: 5.55 MB
- Mit Kopierschutz
- Vorlesefunktion
Sprache:
Englisch
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