Validation and Use Test in AMA - Risk Books
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Validation and Use Test in AMA

By Sergio Scandizzo


As the deadline for implementation approaches, mastering validation is no longer an option, but a must. This new executive report guides you through all the key steps required to validate an AMA approach, with the main objective of obtaining regulatory approval.

Publish date: 1 Dec 2007

Availability: In stock


Book description

Written by an industry specialist, with over ten years op risk experience, this executive report serves as a working manual for operational risk professionals preparing to submit their AMA application. This essential resource will help you to ensure that your models are fully compliant. It will also prove a vital reference for auditors and regulators assessing these models.

With analysis and examples of the current methodology and regulation, this best practice guide allows you to benchmark your methods. Furthermore, it provides you with the tools and techniques needed to:

  • Clearly document your validation process
  • Explain and justify your modeling choices
  • Assess the strengths and weaknesses of your models
  • Anticipate any issues auditors might raise.

It concludes with a detailed discussion of the role of the user test, demonstrating how the measurement model is integrated into day-to-day risk management.

Book details

Publish date
1 Dec 2007
Executive report

Author biography

Sergio Scandizzo

Sergio Scandizzo is Head of Model Validation at the European Investment Bank in Luxembourg.  He is the author of The Operational Risk Manager’s Guide, now in its second edition, of Validation and Use Test in AMA, both published by Risk Books, and of The Validation of Risk Models, published by Palgrave MacMillan. He was also a contributing author to the award-winning Risk Books title Advanced Measurement Approach to Operational Risk, edited by Ellen Davis. Sergio is also Associate Editor of The Journal of Operational Risk and the author of several journal papers on fuzzy logic, genetic algorithms and risk management.

Prior to his position at the EIB he was a principal in the London office of PricewaterhouseCoopers and, prior to that, a senior manager in the Global Risk Advisory team at the Canadian Imperial Bank of Commerce in Toronto. He holds degrees in computer science and finance.

Table of contents


1. An Introduction to Model Validation

1.1. Definitions

1.2. Validation policy

1.3. Key components of validation

1.4. Validation of AMA models

2. Risk Measurement Process

2.1. Input validation

2.2. Model validation

Appendix A - An input-output model for operational interdependence in a complex organisation.

Appendix B - Discrete and continuous probability distributions

3. The AMA Validation Process

3.1. The AMA model

3.2. The validation policy

3.3. The validation report

3.4. Conclusions

4. The User Test

4.1. Not just a compliance exercise

4.2. Maintenance and evolution

4.3. AMA and the management of operational risk

4.4. AMA and the management of the bank: is it adding value?

Appendix A - Specimen of model documentation for model validation

5. Conclusions

Appendix: An AMA Validation Checklist




Glyn Holton, Contingency Analysis on The Operational Risk Manager’s Guide, also by Sergio Scandizzo:

“This is the best book on financial risk management I have read in a long time. If you work anywhere in the middle office, read it.“

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