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).
Language:	English
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
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/11157187

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Other authors / contributors:	Christodoulakis, George. Satchell, S. (Stephen)
ISBN:	9780080553887 0080553885 6611071504 9786611071509 0750681586 9780750681582
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

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