The Analytics of Risk Model Validation - Couverture rigide

Couverture rigide

ISBN 10 : 0750681586 ISBN 13 : 9780750681582

Editeur : Academic Press Inc.(London) Ltd, 2007

Synopsis

Risk model validation is an emerging and important area of research, and has arisen because of Basel I and II. These regulatory initiatives require trading institutions and lending institutions to compute their reserve capital in a highly analytic way, based on the use of internal risk models. It is part of the regulatory structure that these risk models be validated both internally and externally, and there is a great shortage of information as to best practise. Editors Christodoulakis and Satchell collect papers that are beginning to appear by regulators, consultants, and academics, to provide the first collection that focuses on the quantitative side of model validation. The book covers the three main areas of risk: Credit Risk and Market and Operational Risk.

A propos du livre

À propos de l?auteur

Stephen Satchell is a Fellow of Trinity College, the Reader in Financial Econometrics at the University of Cambridge and Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk.

Détails de l'édition

• Éditeur: Academic Press Inc.(London) Ltd
• Date d'édition: 2007
• Langue: anglais
• ISBN 10: 0750681586
• ISBN 13: 9780750681582
• Reliure: Relié
• Nombre de pages: 216
• Éditeur: Christodoulakis George A., Satchell Stephen
• Coordonnées du fabricant: non disponible
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