Validation of Risk Management Models for Financial Institutions: Theory and Practice

ISBN-13: 9781108497350 / Angielski / Twarda / 2023 / 400 str.

Lynch, David

Opis

A comprehensive book on validation with coverage of all the risk management models.

Spis treści

1. Common elements in validation of risk models used in financial institutions Iftekhar Hasan, David Lynch and Akhtar Siddique; 2. Validating bank holding companies value at risk models for market risk David Lynch; 3. A conditional testing approach for VaR model performance evaluation Victor Ng; 4. Beyond exceedance based backtesting of value at risk models Diana Iercosan, Alysa Scherbakova, David McArthur and Rebecca Alber; 5. Evaluation of value at risk models: an empirical likelihood approach David Lynch, Valerio Poti, Akhtar Siddique and Francesco Campobasso; 6. Evaluating banks' value at risk models during the COVID-19 crisis Chris Anderson and Dennis Mawhirter; 7. Performance monitoring for supervisory stress-testing models Nick Klagge and Jose A. Lopez; 8. Counterparty credit risk Eduardo Canabarro; 9. Validation of retail credit risk models Sang-Sub Lee and Feng Li; 10. Issues in the validation of wholesale credit risk models Jonathan Jones and Debashish Sarkar; 11. Case studies in wholesale risk model validation Debashish Sarkar; 12. Validation of models used by banks to estimate their allowance for loan and lease losses Partha Sengupta; 13. Modeling operational risk Filippo Curti, Marco Migueis and Robert Stewart; 14. Statistical decisioning for compliance risk management Bhojnarine R. Rambharat; 15. Validation of risk aggregation in economic capital models Ibrahim Ergen, Hulusi Inanoglu and David Lynch; 16. Model validation of interest rate risk (Banking Book) models Ashish Dev; 17. Validation of risk management models in investment management Akhtar Siddique.