Credit Risk Modelling and Management

Credit Risk Modelling and Management

Probabilistic Graphical Models

Probabilistic Graphical Models

Risk Model Validation (2nd Edition)

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.

£145.00
Availability: In stock
ISBN
9781782722632
 

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
More Information
ISBN 9781782722632
Navision code MQUE
Publication date 26 May 2016
Write Your Own Review
You're reviewing:Risk Model Validation (2nd Edition)
Your Rating

Christian Meyer and Peter Quell

Christian Meyer is a quantitative analyst in the portfolio analytics 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 and spread risk in the banking book and incremental risk in the trading book. Before joining DZ BANK, he worked at KPMG, where he dealt with various audit and consulting aspects of market risk, credit risk and economic capital models in the banking industry. Christian holds a diploma and PhD in mathematics, and is a member of the editorial board of the Journal of Risk Model Validation.

 

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. Before joining DZ BANK, he was manager at d-fine GmbH, where he dealt with various aspects of risk management systems in the banking industry. Peter holds an MSc in mathematical finance from Oxford University and a PhD in mathematics. He is a founding board member of the Model Risk Managers’ International Association (mrmia.org) and a member of the editorial board of the Journal of Risk Model Validation.

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