Risk Model Validation, Second Edition - Risk Books
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Risk Model Validation, Second Edition

By Christian Meyer and Peter Quell

Overview

Quantitative risk models have been presented as one of the causes of the financial crisis that started in 2007. In this fully updated second edition, authors Christian Meyer and Peter Quell give a holistic view of risk models: their construction, appropriateness, validation and why they play such an important role in the financial markets.





Read the introduction to Risk Model Validation, Second Edition for free here.

Publish date: 26 May 2016

Availability: In stock

Product Unit Price Qty
Book - Risk Model Validation, Second Edition
£145.00
eBook - Risk Model Validation, Second Edition
EPUB
£110.00
OR

Book description

This new edition provides financial institutions with a toolbox to raise the key questions when it comes to integrating the results of quantitative risk models into business decisions.

Readers will be able to:

  • Evaluate the validity of a model;
  • Judge the model’s quality, consistency and regulatory compliance;
  • Improve a framework for validation; and
  • Tailor a model-risk approach for their institution.

Chapters include:

  • Basics of Quantitative Risk Models
  • How Can a Risk Model Fail?
  • The Regulatory Perspective on Risk Model Validation
  • Validation Toolbox 1: Focus on Model Results
  • Validation Toolbox 2: Focus on Model Assumptions
  • Validation Toolbox 3: Focus on Data and Software
  • Implementing a Model Risk Framework

Book details

ISBN
Book - 9781782722632 / eBook - 9781782722991
Publish date
26 May 2016
Format
Paperback
Size
A4

Author biography

Christian Meyer and Peter Quell

Christian Meyer is working as Quantitative Analyst in the Portfolio Modeling Team for Market and Credit Risk in the Risk Controlling Unit of DZ BANK AG in Frankfurt where he is responsible for the development of portfolio models for credit risk in the banking book and incremental risk in the trading book. Prior to joining DZ BANK AG he was working for KPMG where he dealt with various aspects (audit and consulting) of market risk, credit risk, and economic capital models in the banking industry. He holds a diploma and PhD in Mathematics.

Peter Quell is Head of the Portfolio Analytics Team for Market and Credit Risk in the Risk Controlling Unit of DZ BANK AG in Frankfurt. Prior to joining DZ BANK AG he was Manager at d-fine GmbH where he dealt with various aspects of risk management systems in the banking industry. He holds a MSc. in Mathematical Finance from Oxford University and a PhD in Mathematics.

Table of contents

About the Authors ix

Abbreviations xi

Introduction 1

PART I: QUANTITATIVE RISK MODELS 5

1 Basics of Quantitative Risk Models 7

2 Usage of Statistics in Quantitative Risk Models 21

3 How Can a Risk Model Fail? 41

PART II: MODEL RISK AND RISK MODEL VALIDATION 77

4 The Concepts of Model Risk and Validation 79

5 Model Risk Frameworks 103

6 Validation Tools 119

7 Regulation 161

PART III: MODEL RISK IN MARKET RISK MODELS 187

8 The Short-term Perspective 189

9 A Benchmark Model for Market Risk 207

10 The Medium-term Perspective 247

PART IV: MODEL RISK IN CREDIT RISK MODELS 271

11 Modelling and Simulation 273

12 Data 293

13 Model Results 319

14 Conclusion 345 

References 351 

Index 363

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