000			02817cam a2200385Ii 4500
001			ocn953197571
003			OCoLC
005			20240726104737.0
008			160707s2016 enk ob 001 0 eng d
040			_aNT _beng _erda _epn _cNT _dNT _dOCLCO _dAZU _dOCLCF _dOCLCO _dYDXCP _dCOO
020			_a9781137436962 _q((electronic)l(electronic)ctronic)
050	0	4	_aHD61 _b.V355 2016
049			_aMAIN
100	1		_aScandizzo, Sergio, _e1
245	1	0	_aThe validation of risk models : _ba handbook for practitioners / _cSergio Scandizzo.
260			_aHoundmills, Basingstoke, Hampshire : _bPalgrave Macmillan, _c(c)2016.
300			_a1 online resource.
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
347			_adata file _2rda
490	1		_aApplied quantitative finance series
504			_a2
520	0		_aThe practice of quantitative risk management has reached unprecedented levels of sophistication. The pricing, the assessment of risk as well as the computation of the capital requirements for highly complex transactions are performed through equally complex mathematical models, running on sophisticated computer systems, developed and operated by dedicated, highly qualified specialists. With this sophistication, however, come risks that are unpredictable, globally challenging and difficult to manage. Model risk is a prime example of these and precisely the kind of risk that those tasked with managing financial institutions as well as those overseeing the soundness and stability of the financial system should worry about. This book starts with setting the problem of the validation of risk models within the context of banking governance and proposes a comprehensive methodological framework for the assessment of models against compliance, qualitative and quantitative benchmarks. It provides a comprehensive guide to the tools and techniques required for the qualitative and quantitative validation of the key categories of risk models and introduces a practical methodology for the measurement of the resulting model risk and its translation into prudent adjustments to capital requirements and other estimates.
530			_a2 _ub
650		0	_aRisk management _xMathematical models.
650		0	_aBanks and banking _xMathematical models.
650		0	_aInvestments _xMathematical models.
650		0	_aCorporations _xFinance _xMathematical models.
655		1	_aElectronic Books.
856	4	0	_zClick to access digital title | log in using your CIU ID number and my.ciu.edu password. _uhttpss://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=1203440&site=eds-live&custid=s3260518
942			_cOB _D _eEB _hHD _m2016 _QOL _R _x _8NFIC _2LOC
994			_a92 _bNT
999			_c76826 _d76826
902			_a1 _bCynthia Snell _c1 _dCynthia Snell