The Analytics of Risk Model Validation

• Author : George A. Christodoulakis,Stephen Satchell
• Publisher : Elsevier
• Release : 14 November 2007

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

• Author : Massimo Morini
• Publisher : John Wiley & Sons
• Release : 07 November 2011

A guide to the validation and risk management of quantitative models used for pricing and hedging Whereas the majority of quantitative finance books focus on mathematics and risk management books focus on regulatory aspects, this book addresses the elements missed by this literature--the risks of the models themselves. This book starts from regulatory issues, but translates them into practical suggestions to reduce the likelihood of model losses, basing model risk and validation on market experience and on a wide range

• Author : S. Scandizzo
• Publisher : Springer
• Release : 01 July 2016

This book is a one-stop-shop reference for risk management practitioners involved in the validation of risk models. It is a comprehensive manual about the tools, techniques and processes to be followed, focused on all the models that are relevant in the capital requirements and supervisory review of large international banks.

• Author : Bart Baesens,Daniel Roesch,Harald Scheule
• Publisher : John Wiley & Sons
• Release : 03 October 2016

The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management. Combining theory with practice, this book walks you through the fundamentals of credit risk management and shows you how to implement these concepts using the SAS credit risk management program, with helpful code provided. Coverage includes data analysis and preprocessing, credit scoring; PD and LGD estimation and forecasting,

• Author : David Lynch,Iftekhar Hasan,Akhtar Siddique
• Publisher : Cambridge University Press
• Release : 31 January 2023

A comprehensive book on validation with coverage of all the risk management models.

• Author : Elisa Luciano,David Allen
• Publisher : MDPI
• Release : 16 October 2019

Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.

• Author : Bart Baesens,Seppe vanden Broucke
• Publisher : Unknown
• Release : 30 June 2021

Get up to speed on identifying and tackling model risk! Managing Model Risk provides data science practitioners, business professionals and analytics managers with a comprehensive guide to understand and tackle the fundamental concept of analytical model risk in terms of data, model specification, model development, model validation, model operationalization, model security and model management. Providing state of the art industry and research insights based on the author''s extensive experience, this illustrated textbook has a well-balanced theory-practice focus and covers all

• Author : Harald Scheule
• Publisher : Createspace Independent Publishing Platform
• Release : 23 November 2017

Credit risk analytics in R will enable you to build credit risk models from start to finish. Accessing real credit data via the accompanying website www.creditriskanalytics.net, you will master a wide range of applications, including building your own PD, LGD and EAD models as well as mastering industry challenges such as reject inference, low default portfolio risk modeling, model validation and stress testing. This book has been written as a companion to Baesens, B., Roesch, D. and Scheule,

• Author : Alexandru Mihai Grumezescu,Alina Maria Holban
• Publisher : Academic Press
• Release : 18 April 2018

Food Safety and Preservation: Modern Biological Approaches to Improving Consumer Health explores the most recent and investigated hot topics in food safety, microbial contamination, food-borne diseases and advanced preservation methods. It brings together the significant, evidence-based scientific progress of various approaches to improve the safety and quality of foods, also offering solutions to help address food industry challenges. Recent studies and technological advancements in biological control are presented to control foodborne pathogens. In addition, analytical methods for reducing potential biological

• Author : Marius-Cristian Frunza
• Publisher : Academic Press
• Release : 09 December 2015

This comprehensive source of information about financial fraud delivers a mature approach to fraud detection and prevention. It brings together all important aspect of analytics used in investigating modern crime in financial markets and uses R for its statistical examples. It focuses on crime in financial markets as opposed to the financial industry, and it highlights technical aspects of crime detection and prevention as opposed to their qualitative aspects. For those with strong analytic skills, this book unleashes the usefulness

• Author : Radu Tunaru
• Publisher : World Scientific
• Release : 08 June 2015

The financial systems in most developed countries today build up a large amount of model risk on a daily basis. However, this is not particularly visible as the financial risk management agenda is still dominated by the subprime-liquidity crisis, the sovereign crises, and other major political events. Losses caused by model risk are hard to identify and even when they are internally identified, as such, they are most likely to be classified as normal losses due to market evolution. Model

• Author : Michalis Doumpos,Christos Lemonakis,Dimitrios Niklis,Constantin Zopounidis
• Publisher : Springer
• Release : 29 September 2018

This book provides a unique, focused introduction to the analytical skills, methods and techniques in the assessment of credit risk that are necessary to tackle and analyze complex credit problems. It employs models and techniques from operations research and management science to investigate more closely risk models for applications within the banking industry and in financial markets. Furthermore, the book presents the advances and trends in model development and validation for credit scoring/rating, the recent regulatory requirements and the

• Author : Esa Jokivuolle,Radu Tunaru
• Publisher : Cambridge University Press
• Release : 16 November 2017

This book uses perspectives of finance and banking to offer predictions on future financial crises, and how we can prepare for them.

• Author : Martin Hibbeln
• Publisher : Springer Science & Business Media
• Release : 30 September 2010

Risk concentrations play a crucial role for the survival of individual banks and for the stability of the whole banking system. Thus, it is important from an economical and a regulatory perspective to properly measure and manage these concentrations. In this book, the impact of credit concentrations on portfolio risk is analyzed for different portfolio types and it is determined, in which cases the influence of concentration risk has to be taken into account. Furthermore, some models for the measurement

• Author : Celestine Iwendi, Thippa Reddy Gadekallu,Ali Kashif Bashir
• Publisher : Frontiers Media SA
• Release : 17 April 2023