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

ISBN 10: 1108497357 / ISBN 13: 9781108497350

Verlag: Cambridge University Press, 2023

Beschreibung

Bestandsnummer des Verkäufers I-9781108497350

Bibliografische Details

Titel: Validation of Risk Management Models for ...

Verlag: Cambridge University Press

Erscheinungsdatum: 2023

Einband: Hardcover

Zustand: New

Über diesen Titel

Inhaltsangabe:

Financial models are an inescapable feature of modern financial markets. Yet it was over reliance on these models and the failure to test them properly that is now widely recognized as one of the main causes of the financial crisis of 2007–2011. Since this crisis, there has been an increase in the amount of scrutiny and testing applied to such models, and validation has become an essential part of model risk management at financial institutions. The book covers all of the major risk areas that a financial institution is exposed to and uses models for, including market risk, interest rate risk, retail credit risk, wholesale credit risk, compliance risk, and investment management. The book discusses current practices and pitfalls that model risk users need to be aware of and identifies areas where validation can be advanced in the future. This provides the first unified framework for validating risk management models.

Über die Autorinnen und Autoren:

David Lynch is Deputy Associate Director for Policy Research and Analytics at the Board of Governors of the Federal Reserve System. He joined the board in 2005, and his areas of responsibility include Volcker metrics, swap margin and oversight of models for market risk capital and counterparty risk capital.

Iftekhar Hasan is University Professor and E. Gerald Corrigan Chair in Finance at Fordham University. He is the editor of the Journal of Financial Stability and is among the most widely cited academics in the world.

Akhtar Siddique taught finance at Georgetown University after his finance Ph.D. at Duke University. He has published extensively in leading finance journals and currently works at the Office of the Comptroller of the Currency.