Validation of Risk Management Models for Financial Institutions
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Validation of Risk Management Models for Financial Institutions

Theory and Practice

Iftekhar Hasan, David Lynch, Akhtar Siddique


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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.

About the book
Author
Iftekhar  Hasan , David  Lynch , Akhtar  Siddique
Imprint
Cambridge University Press
Collection
n.c
Publication date
2023-03-09
Pages
n.c
Print ISBN
9781108497350
Language
English
Ebook informations
EAN PDF
9781108643108
Price
£131.88
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Copy count 0
Print count 0
File size 9472 Ko
Ce livre est accessible aux handicaps   Informations accessibility
EAN EPUB
9781108756488
Price
£131.88
Read more
Copy count 0
Print count 0
File size 17275 Ko
Ce livre est accessible aux handicaps   Informations accessibility
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