Coverart for item
The Resource The Validation of Risk Models : A Handbook for Practitioners, by Sergio Scandizzo, (electronic resource)

The Validation of Risk Models : A Handbook for Practitioners, by Sergio Scandizzo, (electronic resource)

Label
The Validation of Risk Models : A Handbook for Practitioners
Title
The Validation of Risk Models
Title remainder
A Handbook for Practitioners
Statement of responsibility
by Sergio Scandizzo
Creator
Subject
Language
eng
Summary
"The practice of quantitative risk management has reached unprecedented levels of sophistication. The pricing, the assessment of risk as well as the computation of the capital requirements for highly complex transactions are performed through equally complex mathematical models, running on sophisticated computer systems, developed and operated by dedicated, highly qualified specialists. With this sophistication, however, come risks that are unpredictable, globally challenging and difficult to manage. Model risk is a prime example of these and precisely the kind of risk that those tasked with managing financial institutions as well as those overseeing the soundness and stability of the financial system should worry about. This book starts with setting the problem of the validation of risk models within the context of banking governance and proposes a comprehensive methodological framework for the assessment of models against compliance, qualitative and quantitative benchmarks. It provides a comprehensive guide to the tools and techniques required for the qualitative and quantitative validation of the key categories of risk models and introduces a practical methodology for the measurement of the resulting model risk and its translation into prudent adjustments to capital requirements and other estimates."--
Member of
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Scandizzo, Sergio
Dewey number
223
Image bit depth
0
Literary form
non fiction
Nature of contents
dictionaries
Series statement
  • Springer eBooks
  • Applied Quantitative Finance series
http://library.link/vocab/subjectName
  • Finance
  • Business enterprises
  • Corporations
  • Banks and banking
  • Investment banking
  • Securities
  • Risk management
Label
The Validation of Risk Models : A Handbook for Practitioners, by Sergio Scandizzo, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=http://dx.doi.org/10.1057/9781137436962
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier.
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
978-1-137-43696-2
Dimensions
unknown
Extent
1 online resource (VIII, 242 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9781137436962
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia.
Media type code
  • c
Other control number
10.1057/9781137436962
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)953197571
Label
The Validation of Risk Models : A Handbook for Practitioners, by Sergio Scandizzo, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=http://dx.doi.org/10.1057/9781137436962
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier.
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
978-1-137-43696-2
Dimensions
unknown
Extent
1 online resource (VIII, 242 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9781137436962
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia.
Media type code
  • c
Other control number
10.1057/9781137436962
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)953197571

Library Locations

    • Badia FiesolanaBorrow it
      Via dei Roccettini 9, San Domenico di Fiesole, 50014, IT
      43.803074 11.283055
Processing Feedback ...