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Details for:
Lynch D. Validation of Risk Management Models for Financial Institutions 2023
lynch d validation risk management models financial institutions 2023
Type:
E-books
Files:
1
Size:
32.0 MB
Uploaded On:
March 17, 2023, 6:06 p.m.
Added By:
andryold1
Seeders:
8
Leechers:
0
Info Hash:
876E041A87D9A57765844953676EEA4CC6BCDBC4
Get This Torrent
Textbook in PDF format 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. Common Elements in Validation of Risk Models Used in Financial Institutions Validating Bank Holding Companies' Value-at-Risk Models for Market Risk A Conditional Testing Approach for Value-at-Risk Model Performance Evaluation Beyond Exceedance-Based Backtesting of Value-at-Risk Models: Methods for Backtesting the Entire Forecasting Distribution Using Probability Integral Transform Evaluation of Value-at-Risk Models: An Empirical Likelihood Approach Evaluating Banks' Value-at-Risk Models during the COVID-19 Crisis Performance Monitoring for Supervisory Stress-Testing Models Counterparty Credit Risk Validation of Retail Credit Risk Models Issues in the Validation of Wholesale Credit Risk Models Case Studies in Wholesale Risk Model Validation Validation of Models Used by Banks to Estimate Their Allowance for Loan and Lease Losses Operational Risk Statistical Decisioning Tools for Model Risk Management Validation of Risk Aggregation in Economic Capital Models Model Validation of Interest Rate Risk (Banking Book) Models Validation of Risk Management Models in Investment Management
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Lynch D. Validation of Risk Management Models for Financial Institutions 2023.pdf
32.0 MB
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