The Analytics of Risk Model Validation

by Stephen Satchell and George A. Christodoulakis

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...

• Format: Hardcover
• Language: English
• ISBN: 0750681586
• ISBN13: 9780750681582
• Release Date: November 2007
• Publisher: Academic Press
• Length: 216 Pages
• Weight: 1.10 lbs.
• Dimensions: 0.7" x 6.8" x 9.5"