The Analytics of Risk Model Validation Book

The Analytics of Risk Model Validation


  • Author : George A. Christodoulakis
  • Publisher : Elsevier
  • Release Date : 2007-11-14
  • Genre: Business & Economics
  • Pages : 216
  • ISBN 10 : 0080553885
  • Total Read : 64
  • File Size : 8,7 Mb

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The Analytics of Risk Model Validation 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

Risk Model Validation Book

Risk Model Validation


  • Author : Peter Quell
  • Publisher : Unknown
  • Release Date : 2016
  • Genre: Risk management
  • Pages : null
  • ISBN 10 : 1782722637
  • Total Read : 89
  • File Size : 5,9 Mb

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Risk Model Validation Summary:

Credit Risk Analytics Book

Credit Risk Analytics


  • Author : Bart Baesens
  • Publisher : John Wiley & Sons
  • Release Date : 2016-10-03
  • Genre: Business & Economics
  • Pages : 512
  • ISBN 10 : 9781119143987
  • Total Read : 99
  • File Size : 12,9 Mb

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Credit Risk Analytics Summary:

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, low default portfolios, correlation modeling and estimation, validation, implementation of prudential regulation, stress testing of existing modeling concepts, and more, to provide a one-stop tutorial and reference for credit risk analytics. The companion website offers examples of both real and simulated credit portfolio data to help you more easily implement the concepts discussed, and the expert author team provides practical insight on this real-world intersection of finance, statistics, and analytics. SAS is the preferred software for credit risk modeling due to its functionality and ability to process large amounts of data. This book shows you how to exploit the capabilities of this high-powered package to create clean, accurate credit risk management models. Understand the general concepts of credit risk management Validate and stress-test existing models Access working examples based on both real and simulated data Learn useful code for implementing and validating models in SAS Despite the high demand for in-house models, there is little comprehensive training available; practitioners are left to comb through piece-meal resources, executive training courses, and consultancies to cobble together the information they need. This book ends the search by providing a comprehensive, focused resource backed by expert guidance. Credit Risk Analytics is the reference every risk manager needs to streamline the modeling

IFRS 9 and CECL Credit Risk Modelling and Validation Book

IFRS 9 and CECL Credit Risk Modelling and Validation


  • Author : Tiziano Bellini
  • Publisher : Academic Press
  • Release Date : 2019-02-08
  • Genre: Business & Economics
  • Pages : 316
  • ISBN 10 : 9780128149409
  • Total Read : 89
  • File Size : 10,5 Mb

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IFRS 9 and CECL Credit Risk Modelling and Validation Summary:

IFRS 9 and CECL Credit Risk Modelling and Validation covers a hot topic in risk management. Both IFRS 9 and CECL accounting standards require Banks to adopt a new perspective in assessing Expected Credit Losses. The book explores a wide range of models and corresponding validation procedures. The most traditional regression analyses pave the way to more innovative methods like machine learning, survival analysis, and competing risk modelling. Special attention is then devoted to scarce data and low default portfolios. A practical approach inspires the learning journey. In each section the theoretical dissertation is accompanied by Examples and Case Studies worked in R and SAS, the most widely used software packages used by practitioners in Credit Risk Management. Offers a broad survey that explains which models work best for mortgage, small business, cards, commercial real estate, commercial loans and other credit products Concentrates on specific aspects of the modelling process by focusing on lifetime estimates Provides an hands-on approach to enable readers to perform model development, validation and audit of credit risk models

Managing Model Risk Book

Managing Model Risk


  • Author : Bart Baesens
  • Publisher : Unknown
  • Release Date : 2021-06-30
  • Genre: Uncategoriezed
  • Pages : 283
  • ISBN 10 : 9798521686988
  • Total Read : 70
  • File Size : 10,5 Mb

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Managing Model Risk Summary:

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 essential topics. Key Features: Extensive coverage of important trending topics and their risk impact on analytical models, starting from the raw data up until the operationalization, security and management. Various examples and case studies to highlight the topics discussed. Key references to background literature for further clarification. An online website with various add-ons and recent developments: www.managingmodelriskbook.com. What Makes this Book Different? This book is based on both authors having worked in analytics for more than 30 years combined, both in industry and academia. Both authors have co-authored more than 300 scientific publications on analytics and machine learning and have worked with firms in different industries, including (online) retailers, financial institutions, manufacturing firms, insurance providers, governments, etc. all over the globe estimating, deploying and validating analytical models. Throughout this time, we have read many books about analytical modeling and data science, which are typically written from the perspective of a theorist, providing lots of details with regards to different model algorithms and related mathematics, but with limited attention being given to how such models are used in practice. If such concerns are tackled, it is mainly from an implementation, use case or data engineering perspective. From our own experience, however, we

The Validation of Risk Models Book

The Validation of Risk Models


  • Author : S. Scandizzo
  • Publisher : Springer
  • Release Date : 2016-07-01
  • Genre: Business & Economics
  • Pages : 242
  • ISBN 10 : 9781137436962
  • Total Read : 95
  • File Size : 14,9 Mb

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The Validation of Risk Models Summary:

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.

Understanding and Managing Model Risk Book

Understanding and Managing Model Risk


  • Author : Massimo Morini
  • Publisher : Wiley
  • Release Date : 2011-11-07
  • Genre: Business & Economics
  • Pages : 448
  • ISBN 10 : 0470977612
  • Total Read : 99
  • File Size : 12,7 Mb

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Understanding and Managing Model Risk Summary:

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 of real-world examples, with a high level of detail and precise operative indications.

Risk Analysis and Portfolio Modelling Book

Risk Analysis and Portfolio Modelling


  • Author : Elisa Luciano
  • Publisher : MDPI
  • Release Date : 2019-10-16
  • Genre: Business & Economics
  • Pages : 224
  • ISBN 10 : 9783039216246
  • Total Read : 72
  • File Size : 7,5 Mb

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Risk Analysis and Portfolio Modelling Summary:

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.