Validation of risk management models for financial institutions: theory and practice
Gespeichert in:
| Weitere Verfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Cambridge University Press
[2023]
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xvii, 470 Seiten |
| ISBN: | 9781108497350 |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | Contents List of Figures page vii List of Tables x List of Contributors xiii Foreword Christopher Finger xv Acknowledgments 1 Common Elements in Validation of Risk Models Used in Financial Institutions David Lynch, Iftekhar Hasan and Akhtar Siddique xvii 1 2 Validating Bank Holding Companies’ Value-at-Risk Models for Market Risk 22 David Lynch 3 A Conditional Testing Approach for Value-at-Risk Model Performance Evaluation 49 Victor K. Ng 4 Beyond Exceedance-Based Backtesting of Value-at-Risk Models: Methods for Backtesting the Entire Forecasting Distribution Using Probability Integral Transform 57 Diana lercosan, Alysa Shcherbakova, David McArthur and Rebecca Alper 5 Evaluation of Value-at-Risk Models: An Empirical Likelihood Approach 84 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 104
Contents 7 8 Performance Monitoring for Supervisory StressTesting Models Nick Klagge and Jose A. Lopez Counterparty Credit Risk Eduardo Canabarro 9 Validation of Retail Credit Risk Models 124 156 175 Sang-Sub Lee and Feng Li 10 Issues in the Validation of Wholesale Credit Risk Models Jonathan Jones and Debashish Sarkar 232 11 Case Studies in Wholesale Risk Model Validation Debashish Sarkar 263 12 Validation of Models Used by Banks to Estimate Their Allowance for Loan and Lease Losses Partha Sengupta 295 13 Operational Risk Filippo Curti, Marco Migueis and Robert Stewart 331 14 Statistical Decisioning Tools for Model Risk Management Bhoj narine R. Rambharat 359 15 Validation of Risk Aggregation in Economic Capital Models Ibrahim Ergen, Hulusi Inanoglu and David Lynch 379 Model Validation of Interest Rate Risk (Banking Book) Models Ashish Dev 422 16 17 Validation of Risk Management Models in Investment Management Akhtar Siddique 439 445
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| adam_txt |
Contents List of Figures page vii List of Tables x List of Contributors xiii Foreword Christopher Finger xv Acknowledgments 1 Common Elements in Validation of Risk Models Used in Financial Institutions David Lynch, Iftekhar Hasan and Akhtar Siddique xvii 1 2 Validating Bank Holding Companies’ Value-at-Risk Models for Market Risk 22 David Lynch 3 A Conditional Testing Approach for Value-at-Risk Model Performance Evaluation 49 Victor K. Ng 4 Beyond Exceedance-Based Backtesting of Value-at-Risk Models: Methods for Backtesting the Entire Forecasting Distribution Using Probability Integral Transform 57 Diana lercosan, Alysa Shcherbakova, David McArthur and Rebecca Alper 5 Evaluation of Value-at-Risk Models: An Empirical Likelihood Approach 84 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 104
Contents 7 8 Performance Monitoring for Supervisory StressTesting Models Nick Klagge and Jose A. Lopez Counterparty Credit Risk Eduardo Canabarro 9 Validation of Retail Credit Risk Models 124 156 175 Sang-Sub Lee and Feng Li 10 Issues in the Validation of Wholesale Credit Risk Models Jonathan Jones and Debashish Sarkar 232 11 Case Studies in Wholesale Risk Model Validation Debashish Sarkar 263 12 Validation of Models Used by Banks to Estimate Their Allowance for Loan and Lease Losses Partha Sengupta 295 13 Operational Risk Filippo Curti, Marco Migueis and Robert Stewart 331 14 Statistical Decisioning Tools for Model Risk Management Bhoj narine R. Rambharat 359 15 Validation of Risk Aggregation in Economic Capital Models Ibrahim Ergen, Hulusi Inanoglu and David Lynch 379 Model Validation of Interest Rate Risk (Banking Book) Models Ashish Dev 422 16 17 Validation of Risk Management Models in Investment Management Akhtar Siddique 439 445 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author2 | Lynch, David A. Siddique, Akhtar R. Hasan, Iftekhar |
| author2_role | edt edt edt |
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| author_GND | (DE-588)171763696 (DE-588)170779521 |
| author_facet | Lynch, David A. Siddique, Akhtar R. Hasan, Iftekhar |
| building | Verbundindex |
| bvnumber | BV048860671 |
| classification_rvk | QK 620 |
| ctrlnum | (OCoLC)1378501187 (DE-599)HBZHT021472550 |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T21:42:04Z |
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| isbn | 9781108497350 |
| language | English |
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| physical | xvii, 470 Seiten |
| publishDate | 2023 |
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| publisher | Cambridge University Press |
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| spelling | Lynch, David A. edt Validation of risk management models for financial institutions theory and practice edited by David Lynch (Federal Reserve Board of Governors), Iftekhar Hasan (Fordham University Graduate Schools of Business), Akhtar Siddique (Office of the Comptroller of the Currency) New York, NY Cambridge University Press [2023] xvii, 470 Seiten txt rdacontent n rdamedia nc rdacarrier Risikomanagement (DE-588)4121590-4 gnd rswk-swf Finanzdienstleistungsinstitut (DE-588)4535644-0 gnd rswk-swf Finanzkrise (DE-588)7635855-0 gnd rswk-swf Validierung (DE-588)4187357-9 gnd rswk-swf Modell (DE-588)4039798-1 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Finanzdienstleistungsinstitut (DE-588)4535644-0 s Finanzkrise (DE-588)7635855-0 s Risikomanagement (DE-588)4121590-4 s Modell (DE-588)4039798-1 s Validierung (DE-588)4187357-9 s b DE-604 Siddique, Akhtar R. (DE-588)171763696 edt Hasan, Iftekhar (DE-588)170779521 edt Erscheint auch als Online-Ausgabe 978-1-108-64310-8 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=034125791&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Validation of risk management models for financial institutions theory and practice Risikomanagement (DE-588)4121590-4 gnd Finanzdienstleistungsinstitut (DE-588)4535644-0 gnd Finanzkrise (DE-588)7635855-0 gnd Validierung (DE-588)4187357-9 gnd Modell (DE-588)4039798-1 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4535644-0 (DE-588)7635855-0 (DE-588)4187357-9 (DE-588)4039798-1 (DE-588)4143413-4 |
| title | Validation of risk management models for financial institutions theory and practice |
| title_auth | Validation of risk management models for financial institutions theory and practice |
| title_exact_search | Validation of risk management models for financial institutions theory and practice |
| title_exact_search_txtP | Validation of risk management models for financial institutions theory and practice |
| title_full | Validation of risk management models for financial institutions theory and practice edited by David Lynch (Federal Reserve Board of Governors), Iftekhar Hasan (Fordham University Graduate Schools of Business), Akhtar Siddique (Office of the Comptroller of the Currency) |
| title_fullStr | Validation of risk management models for financial institutions theory and practice edited by David Lynch (Federal Reserve Board of Governors), Iftekhar Hasan (Fordham University Graduate Schools of Business), Akhtar Siddique (Office of the Comptroller of the Currency) |
| title_full_unstemmed | Validation of risk management models for financial institutions theory and practice edited by David Lynch (Federal Reserve Board of Governors), Iftekhar Hasan (Fordham University Graduate Schools of Business), Akhtar Siddique (Office of the Comptroller of the Currency) |
| title_short | Validation of risk management models for financial institutions |
| title_sort | validation of risk management models for financial institutions theory and practice |
| title_sub | theory and practice |
| topic | Risikomanagement (DE-588)4121590-4 gnd Finanzdienstleistungsinstitut (DE-588)4535644-0 gnd Finanzkrise (DE-588)7635855-0 gnd Validierung (DE-588)4187357-9 gnd Modell (DE-588)4039798-1 gnd |
| topic_facet | Risikomanagement Finanzdienstleistungsinstitut Finanzkrise Validierung Modell Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=034125791&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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