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Books > Reference & Interdisciplinary > Communication studies > Decision theory > Risk assessment
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The Analytics of Risk Model Validation (Hardcover, New)
Loot Price: R1,661
Discovery Miles 16 610
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The Analytics of Risk Model Validation (Hardcover, New)
Series: Quantitative Finance
Expected to ship within 12 - 17 working days
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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
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