The analytics of risk model validation:
Saved in:
| Format: | Electronic eBook |
|---|---|
| Language: | English |
| Published: |
Amsterdam
Elsevier/Academic Press
c2008
|
| Edition: | 1st ed |
| Series: | Quantitative finance series
|
| Subjects: | |
| Online Access: | Volltext |
| Item Description: | 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 Includes bibliographical references and index |
| Physical Description: | 1 Online-Ressource (xi, 201 p.) |
| ISBN: | 9780750681582 0750681586 |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:17:55Z |
| institution | BVB |
| isbn | 9780750681582 0750681586 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027743946 |
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| physical | 1 Online-Ressource (xi, 201 p.) |
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| publishDate | 2008 |
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| publisher | Elsevier/Academic Press |
| record_format | marc |
| series2 | Quantitative finance series |
| spelling | The analytics of risk model validation edited by George Christodoulakis, Stephen Satchell 1st ed Amsterdam Elsevier/Academic Press c2008 1 Online-Ressource (xi, 201 p.) txt rdacontent c rdamedia cr rdacarrier Quantitative finance series 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 Includes bibliographical references and index Risk management / Mathematical models fast Mathematisches Modell Risk management Mathematical models Christodoulakis, George Sonstige oth Satchell, S. Sonstige oth http://www.sciencedirect.com/science/book/9780750681582 Verlag Volltext |
| spellingShingle | The analytics of risk model validation Risk management / Mathematical models fast Mathematisches Modell Risk management Mathematical models |
| title | The analytics of risk model validation |
| title_auth | The analytics of risk model validation |
| title_exact_search | The analytics of risk model validation |
| title_full | The analytics of risk model validation edited by George Christodoulakis, Stephen Satchell |
| title_fullStr | The analytics of risk model validation edited by George Christodoulakis, Stephen Satchell |
| title_full_unstemmed | The analytics of risk model validation edited by George Christodoulakis, Stephen Satchell |
| title_short | The analytics of risk model validation |
| title_sort | the analytics of risk model validation |
| topic | Risk management / Mathematical models fast Mathematisches Modell Risk management Mathematical models |
| topic_facet | Risk management / Mathematical models Mathematisches Modell Risk management Mathematical models |
| url | http://www.sciencedirect.com/science/book/9780750681582 |
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