Model Risk Analytics and Management - Risk Books
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Model Risk Analytics and Management

By Alexander Shklyarevsky

Overview

Model Risk Analytics and Management gives a comparative analysis of model risk analytics, methodology, and risk analytics for major financial risk types in the financial services industry. Author Alexander Shklyarevsky, Director, Model Risk Management, in Enterprise Risk Management at State Street (New York), provides practical guidance on the challenges involved in assessing and changing approaches to risk analytics for major financial risk types, from a board and senior management viewpoint. Model Risk Analytics and Management focuses on the risk management tools necessary to support risk analytics and methodology.

Publish date: 8 Dec 2017

Availability: Out of stock

Product Unit Price
Book - Model Risk Analytics and Management

£130.50

£145.00 Save £14.50

eBook - Model Risk Analytics and Management
EPUB
£110.00

Book description

Model risk became an area of focus after the 2008-2009 financial crisis when banks were assessing reasons for their large losses, but this has intensified as various high-profile losses, and risk and capital regulation, have come to light. For example, one of the reasons that trillions of dollars were lost on structured products during the crisis was that valuation and risk models for these products were not adequate. The crisis proved the necessity for CROs, for example, to understand how much money the firm may lose due to inadequate models.

There is an increased focus on regulation in this area, and many new and evolving model risk analytic techniques and quantitative tools which, if effectively implemented, will lead to more accountability and better management of the risks in this area. Additionally, there is an increasing reliance within financial institutions on the use of models and quantitative analysis techniques in their decision making. This is partly driven by regulation but also a result of enhanced data and technological capabilities.

Model Risk Analytics and Management highlights the latest advances in model risk analytics and methodology, demonstrating their crucial importance in addressing major risk, capital, and regulatory issues, and conducting a comparative analysis with risk analytics and methodology for other major types of financial risk.

Book details

ISBN
Book - 9781782723462 / eBook - 9781782723769
Publish date
8 Dec 2017
Format
Paperback
Size
155mm x 235mm

Author biography

Alexander Shklyarevsky

Alexander is Director, Model Risk Management, in Enterprise Risk Management at State Street in New York. He specialises in quantitative pricing and risk models and other methodologies and processes for Capital, Collateral, Insurance Products, Derivative Products and their portfolios across asset classes. Prior to joining State Street, Alexander worked at AIG, Bank of America, KBC Financial Products, Commerzbank, Merrill Lynch, ING Barings, Deutsche Bank, Bank of Tokyo and Chase Manhattan Bank where he specialized in quantitative pricing, trading and risk models for derivative securities and their portfolios, as well as Risk Management and Risk Analytics.

Mr. Shklyarevsky has been published in financial magazines and has been a speaker at multiple industry and academic conferences. Prior to working in an Insurance Industry and a Financial Industry, he worked in Construction Research, Market Research and Academia where he conducted Mathematical Research and taught courses in Mathematics. Mr. Shklyarevsky holds a B.S. / M.S. Degree in Mathematics from Kiev State University (Department of Mathematics) and M.S. Degree with all Ph.D. credits in Mathematics from New York University (Courant Institute of Mathematical Sciences, Department of Mathematics).

Table of contents

1. Introduction

2. CRO view of and need for model risk management and analytics.

3. Model Risk Governance, its role in model risk management and analytics.

4. Model Risk Systems and their role in model risk management and analytics.

5. Model Validation, its role in model risk management and analytics

6. Role of internal audit in model risk management and analytics

7. Model risk analytics and methodology.

8. Model Risk Scoring and its role in model risk management and analytics.

9. Model Risk Exposure and approaches to its calculation

10. Risk Exposure for other major financial risk types vs. Model Risk Exposure

11. Data and its applications to model risk management and analytics

12. Conclusion: perspectives of further development of model risk management and analytics.

Appendix

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