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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.
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