東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

The validation of risk models = a ha...

Scandizzo, Sergio.

Linked to FindBook

Google Book

Amazon

博客來

The validation of risk models = a handbook for practitioners /

Record Type:	Electronic resources : Monograph/item
Title/Author:	The validation of risk models/ by Sergio Scandizzo.
Reminder of title:	a handbook for practitioners /
Author:	Scandizzo, Sergio.
Published:	London :Palgrave Macmillan UK : : 2016.,
Description:	viii, 242 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
Subject:	Risk management - Mathematical models. -
Online resource:	http://dx.doi.org/10.1057/9781137436962
ISBN:	9781137436962

The validation of risk models = a handbook for practitioners /
Scandizzo, Sergio.

The validation of risk modelsa handbook for practitioners /[electronic resource] :by Sergio Scandizzo. - London :Palgrave Macmillan UK :2016. - viii, 242 p. :ill., digital ;24 cm. - Applied quantitative finance series. - Applied quantitative finance series..

The practice of quantitative risk management has reached unprecedented levels of refinement. 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 advanced 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 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.

ISBN: 9781137436962

Standard No.: 10.1057/9781137436962doiSubjects--Topical Terms:

713035
Risk management
--Mathematical models.

LC Class. No.: HD61 / .S287 2016

Dewey Class. No.: 658.15501

The validation of risk models = a handbook for practitioners /
LDR:02283nmm a2200313 a 4500 001 2043491
003 DE-He213
005 20160701104721.0
006 m d
007 cr nn 008maaau
008 170217s2016 enk s 0 eng d
020 $a 9781137436962 $q (electronic bk.)
020 $a 9781137436955 $q (paper)
024 7 $a 10.1057/9781137436962 $2 doi
035 $a 978-1-137-43696-2
040 $a GP $c GP
041 0 $a eng
050 4 $a HD61 $b .S287 2016
072 7 $a KJM $2 bicssc
072 7 $a BUS033070 $2 bisacsh
082 0 4 $a 658.15501 $2 23
090 $a HD61 $b .S283 2016
100 1 $a Scandizzo, Sergio. $3 2203278
245 1 4 $a The validation of risk models $h [electronic resource] : $b a handbook for practitioners / $c by Sergio Scandizzo.
260 $a London : $b Palgrave Macmillan UK : $b Imprint: Palgrave Macmillan, $c 2016.
300 $a viii, 242 p. : $b ill., digital ; $c 24 cm.
490 1 $a Applied quantitative finance series
520 $a The practice of quantitative risk management has reached unprecedented levels of refinement. 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 advanced 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 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.
650 0 $a Risk management $x Mathematical models. $3 713035
650 0 $a Banks and banking $x Mathematical models. $3 666327
650 0 $a Investments $x Mathematical models. $3 549985
650 0 $a Corporations $x Finance $x Mathematical models. $3 654846
650 1 4 $a Finance. $3 542899
650 2 4 $a Risk Management. $3 608953
650 2 4 $a Banking. $2 bicssc $3 1557594
650 2 4 $a Corporate Finance. $2 swd $3 1655050
650 2 4 $a Investments and Securities. $3 2181990
650 2 4 $a Business Finance. $3 2162280
710 2 $a SpringerLink (Online service) $3 836513
773 0 $t Springer eBooks
830 0 $a Applied quantitative finance series. $3 2182376
856 4 0 $u http://dx.doi.org/10.1057/9781137436962
950 $a Economics and Finance (Springer-41170)