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

Description: Validation of Risk Management Models for Financial Institutions by David Lynch, Iftekhar Hasan, Akhtar Siddique Validation is an essential part of modelling risk management at financial institutions. This book provides the first unified framework for validating risk management models. It covers all of the major risk areas, including market risk, interest rate risk, retail credit risk, wholesale credit risk, compliance risk, and investment management. FORMAT Hardcover LANGUAGE English CONDITION Brand New Publisher Description 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. Author Biography 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. Table of Contents 1. Common elements in validation of risk models used in financial institutions Iftekhar Hasan, David Lynch and Akhtar Siddique; 2. Validating bank holding companies value at risk models for market risk David Lynch; 3. A conditional testing approach for VaR model performance evaluation Victor Ng; 4. Beyond exceedance based backtesting of value at risk models Diana Iercosan, Alysa Scherbakova, David McArthur and Rebecca Alber; 5. Evaluation of value at risk models: an empirical likelihood approach David Lynch, Valerio Poti, Akhtar Siddique and Francesco Campobasso; 6. Evaluating banks value at risk models during the COVID-19 crisis Chris Anderson and Dennis Mawhirter; 7. Performance monitoring for supervisory stress-testing models Nick Klagge and Jose A. Lopez; 8. Counterparty credit risk Eduardo Canabarro; 9. Validation of retail credit risk models Sang-Sub Lee and Feng Li; 10. Issues in the validation of wholesale credit risk models Jonathan Jones and Debashish Sarkar; 11. Case studies in wholesale risk model validation Debashish Sarkar; 12. Validation of models used by banks to estimate their allowance for loan and lease losses Partha Sengupta; 13. Modeling operational risk Filippo Curti, Marco Migueis and Robert Stewart; 14. Statistical decisioning for compliance risk management Bhojnarine R. Rambharat; 15. Validation of risk aggregation in economic capital models Ibrahim Ergen, Hulusi Inanoglu and David Lynch; 16. Model validation of interest rate risk (Banking Book) models Ashish Dev; 17. Validation of risk management models in investment management Akhtar Siddique. Review … a valuable guide to the critical issues faced when using risk models. Mark S. Rzepczynski, Enterprising Investor Promotional A comprehensive book on validation with coverage of all the risk management models. Promotional "Headline" A comprehensive book on validation with coverage of all the risk management models. Details ISBN1108497357 Author Akhtar Siddique Short Title Validation of Risk Management Models for Financial Institutions Publisher Cambridge University Press Language English ISBN-10 1108497357 ISBN-13 9781108497350 Format Hardcover Subtitle Theory and Practice Pages 400 Imprint Cambridge University Press Place of Publication Cambridge Country of Publication United Kingdom Edited by Akhtar Siddique Year 2023 Publication Date 2023-03-09 AU Release Date 2023-03-09 NZ Release Date 2023-03-09 UK Release Date 2023-03-09 Illustrations Worked examples or Exercises Alternative 9781108608602 DEWEY 332.015118 Audience Tertiary & Higher Education We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:140660503;

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