The analytics of risk model validation /

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Bibliographic Details
Edition:1st ed.
Imprint:Amsterdam ; Boston : Elsevier/Academic Press, 2008.
Description:1 online resource (1 volume).
Series:Elsevier finance
Quantitative finance series
Elsevier finance.
Quantitative finance series.
Subject:Risk management -- Mathematical models.
Operational risk -- Mathematical models.
Risk management -- Mathematical models.
Electronic books.
Electronic books.
Format: E-Resource Book
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Other authors / contributors:Christodoulakis, George.
Satchell, S. (Stephen)
Notes:Includes bibliographical references and index.
Print version record.
Summary: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 prov.
Other form:Print version: Analytics of risk model validation. 1st ed. Amsterdam ; Boston : Elsevier/Academic Press, 2008 9780750681582 0750681586
Standard no.:9786611071509