The Analytics of Risk Model Validation

Download or Read online The Analytics of Risk Model Validation full in PDF, ePub and kindle. This book written by George A. Christodoulakis and published by Elsevier which was released on 14 November 2007 with total pages 216. We cannot guarantee that The Analytics of Risk Model Validation book is available in the library, click Get Book button to download or read online books. Join over 650.000 happy Readers and READ as many books as you like.

The Analytics of Risk Model Validation
Author :
Publisher : Elsevier
Release Date :
ISBN : 0080553885
Pages : 216 pages
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Download or Read Online The Analytics of Risk Model Validation in PDF, Epub and Kindle

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

The Analytics of Risk Model Validation

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

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Risk Model Validation

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