The analytics of risk model validation
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...
| Otros Autores: | , |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Amsterdam :
Academic Press
2008.
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| Edición: | 1st edition |
| Colección: | Quantitative finance series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627382506719 |
| Sumario: | 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, |
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| Notas: | Description based upon print version of record. |
| Descripción Física: | 1 online resource (217 p.) |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9781281071507 9786611071509 9780080553887 |
