Validation of Risk Management Models for Financial Institutions: Theory and Practice
Editat de David Lynch, Iftekhar Hasan, Akhtar Siddiqueen Limba Engleză Hardback – 8 mar 2023
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Specificații
ISBN-13: 9781108497350
ISBN-10: 1108497357
Pagini: 400
Dimensiuni: 238 x 160 x 33 mm
Greutate: 0.82 kg
Editura: Cambridge University Press
Colecția Cambridge University Press
Locul publicării:Cambridge, United Kingdom
ISBN-10: 1108497357
Pagini: 400
Dimensiuni: 238 x 160 x 33 mm
Greutate: 0.82 kg
Editura: Cambridge University Press
Colecția Cambridge University Press
Locul publicării:Cambridge, United Kingdom
Cuprins
1. Common elements in validation of risk models used in financial institutions Iftekhar Hasan, David Lynch and Akhtar Siddique; 2. Validating bank holding companies value at risk models for market risk David Lynch; 3. A conditional testing approach for VaR model performance evaluation Victor Ng; 4. Beyond exceedance based backtesting of value at risk models Diana Iercosan, Alysa Scherbakova, David McArthur and Rebecca Alber; 5. Evaluation of value at risk models: an empirical likelihood approach David Lynch, Valerio Poti, Akhtar Siddique and Francesco Campobasso; 6. Evaluating banks' value at risk models during the COVID-19 crisis Chris Anderson and Dennis Mawhirter; 7. Performance monitoring for supervisory stress-testing models Nick Klagge and Jose A. Lopez; 8. Counterparty credit risk Eduardo Canabarro; 9. Validation of retail credit risk models Sang-Sub Lee and Feng Li; 10. Issues in the validation of wholesale credit risk models Jonathan Jones and Debashish Sarkar; 11. Case studies in wholesale risk model validation Debashish Sarkar; 12. Validation of models used by banks to estimate their allowance for loan and lease losses Partha Sengupta; 13. Modeling operational risk Filippo Curti, Marco Migueis and Robert Stewart; 14. Statistical decisioning for compliance risk management Bhojnarine R. Rambharat; 15. Validation of risk aggregation in economic capital models Ibrahim Ergen, Hulusi Inanoglu and David Lynch; 16. Model validation of interest rate risk (Banking Book) models Ashish Dev; 17. Validation of risk management models in investment management Akhtar Siddique.
Descriere
A comprehensive book on validation with coverage of all the risk management models.