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The Analytics of Risk Model Validation
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The Analytics of Risk Model Validation Tapa dura - 2007 - 1st Edición

de George A. Christodoulakis (Editor); Stephen Satchell (Editor)


Información de la editorial

Risk model validation is an emerging and important area of research, and has arisen because of Basel I and II. These regulatory initiatives require trading institutions and lending institutions to compute their reserve capital in a highly analytic way, based on the use of internal risk models. It is part of the regulatory structure that these risk models be validated both internally and externally, and there is a great shortage of information as to best practise. Editors Christodoulakis and Satchell collect papers that are beginning to appear by regulators, consultants, and academics, to provide the first collection that focuses on the quantitative side of model validation. The book covers the three main areas of risk: Credit Risk and Market and Operational Risk.

Detalles

  • Título The Analytics of Risk Model Validation
  • Autor George A. Christodoulakis (Editor); Stephen Satchell (Editor)
  • Encuadernación Tapa dura
  • Número de edición 1st
  • Edición 1
  • Páginas 216
  • Volúmenes 1
  • Idioma ENG
  • Editorial Academic Press
  • Fecha de publicación November 11, 2007
  • Ilustrado
  • ISBN 9780750681582 / 0750681586
  • Peso 1.1 libras (0.50 kg)
  • Dimensiones 9.21 x 6.5 x 0.72 pulgadas (23.39 x 16.51 x 1.83 cm)
  • Library of Congress subjects Risk management - Mathematical models
  • Número de catálogo de la Librería del Congreso de EEUU 2008297532
  • Dewey Decimal Code 658.155
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