(Ebook) The Analytics of Risk Model Validation by George A. Christodoulakis, Stephen Satchell ISBN 9780750681582, 0750681586

(Ebook) The Analytics of Risk Model Validation by George A. Christodoulakis, Stephen Satchell ISBN 9780750681582, 0750681586

Книга The Analytics of Risk Model Validation The Analytics of Risk Model ValidationКниги Экономика Автор: George A. Christodoulakis, Stephen Satchell Год издания: 2007 Формат: pdf Издат.:Academic Press Страниц: 216 Размер: 1,9 ISBN: 0750681586 Язык: Английский0 (голосов: 0) Оценка: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