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...
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| Format: | eBook |
| Language: | English |
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Amsterdam
Elsevier/Academic Press
2008
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| Edition: | 1st ed |
| Series: | Elsevier finance
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| Online Access: | |
| Collection: | O'Reilly - Collection details see MPG.ReNa |
| 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 prov |
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| Physical Description: | 1 volume |
| ISBN: | 0080553885 9781281071507 6611071504 1281071501 9780080553887 9786611071509 |