ISBN: | 9781137436955 (hardback) |
编目源: | DLC DLC DLC |
个人名称: | Scandizzo, Sergio, |
题名: | The validation of risk models : a handbook for practitioners / Sergio Scandizzo, Head of Model Validation, European Investment Bank, Luxembourg. |
索书号: | F830.3/S283E |
载体形态: | viii, 242 pages : illustrations ; 24 cm. |
书目附注: | Includes bibliographical references and index. |
格式化内容附注: | Machine generated contents note: Introduction A Model Risk Primer Part 1 A Framework for Risk Model Validation Chapter 1 The role of validation in banking governance Chapter 2 Validation from a supervisory perspective Chapter 3 A model validation framework for risk management Part 2 Credit Risk Chapter 4 Probability of default models Chapter 5 Loss Given Default models Chapter 6 Credit Conversion Factor models Part 3 Counterparty Credit Risk Chapter 7 Derivatives valuation models Chapter 8 Expected Future Exposure models Chapter 9 Credit Valuation Adjustment models Part 4 Market risk Chapter 10 Trading market risk models Chapter 11 Hedging and model validation Chapter 12 Interest rate risk on the banking book Part 5 Operational risk Chapter 13 The validation of AMA models Chapter 14 Use test for operational risk Part 6 Validation of Pillar 2 Models Chapter 15 Economic capital models Chapter 16 Stress testing models Conclusion. |