The Analytics of Risk Model Validation

This book PDF is perfect for those who love Business & Economics genre, written by George A. Christodoulakis and published by Elsevier which was released on 14 November 2007 with total hardcover pages 216. You could read this book directly on your devices with pdf, epub and kindle format, check detail and related The Analytics of Risk Model Validation books below.

The Analytics of Risk Model Validation
Author : George A. Christodoulakis
File Size : 55,9 Mb
Publisher : Elsevier
Language : English
Release Date : 14 November 2007
ISBN : 0080553885
Pages : 216 pages
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The Analytics of Risk Model Validation by George A. Christodoulakis Book PDF Summary

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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