Validation of Risk Management Models for Financial Institutions : Theory and Practice Hardback
Edited by David (Federal Reserve Board of Governors) Lynch, Iftekhar (Fordham University Graduate Schools of Business) Hasan, Akhtar (Office of the Comptroller of the Currency) Siddique
Hardback
Description
Financial models are an inescapable feature of modern financial markets.
Yet it was over reliance on these models and the failure to test them properly that is now widely recognized as one of the main causes of the financial crisis of 2007–2011.
Since this crisis, there has been an increase in the amount of scrutiny and testing applied to such models, and validation has become an essential part of model risk management at financial institutions.
The book covers all of the major risk areas that a financial institution is exposed to and uses models for, including market risk, interest rate risk, retail credit risk, wholesale credit risk, compliance risk, and investment management.
The book discusses current practices and pitfalls that model risk users need to be aware of and identifies areas where validation can be advanced in the future.
This provides the first unified framework for validating risk management models.
Information
-
Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Hardback
- Pages:400 pages, Worked examples or Exercises
- Publisher:Cambridge University Press
- Publication Date:09/03/2023
- Category:
- ISBN:9781108497350
Information
-
Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Hardback
- Pages:400 pages, Worked examples or Exercises
- Publisher:Cambridge University Press
- Publication Date:09/03/2023
- Category:
- ISBN:9781108497350
