The Analytics of Risk Model Validation Book

The Analytics of Risk Model Validation


  • Author : George A. Christodoulakis
  • Publisher : Elsevier
  • Release Date : 2007-11-14
  • Genre: Business & Economics
  • Pages : 216
  • ISBN 10 : 0080553885

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The Analytics of Risk Model Validation Book Description :

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. *Risk model validation is a requirement of Basel I and II *The first collection of papers in this new and developing area of research *International authors cover model validation in credit, market, and operational risk

Credit Risk Analytics Book

Credit Risk Analytics


  • Author : Bart Baesens
  • Publisher : John Wiley & Sons
  • Release Date : 2016-09-19
  • Genre: Business & Economics
  • Pages : 512
  • ISBN 10 : 9781119278344

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Credit Risk Analytics Book Description :

The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management. Combining theory with practice, this book walks you through the fundamentals of credit risk management and shows you how to implement these concepts using the SAS credit risk management program, with helpful code provided. Coverage includes data analysis and preprocessing, credit scoring; PD and LGD estimation and forecasting, low default portfolios, correlation modeling and estimation, validation, implementation of prudential regulation, stress testing of existing modeling concepts, and more, to provide a one-stop tutorial and reference for credit risk analytics. The companion website offers examples of both real and simulated credit portfolio data to help you more easily implement the concepts discussed, and the expert author team provides practical insight on this real-world intersection of finance, statistics, and analytics. SAS is the preferred software for credit risk modeling due to its functionality and ability to process large amounts of data. This book shows you how to exploit the capabilities of this high-powered package to create clean, accurate credit risk management models. Understand the general concepts of credit risk management Validate and stress-test existing models Access working examples based on both real and simulated data Learn useful code for implementing and validating models in SAS Despite the high demand for in-house models, there is little comprehensive training available; practitioners are left to comb through piece-meal resources, executive training courses, and consultancies to cobble together the information they need. This book ends the search by providing a comprehensive, focused resource backed by expert guidance. Credit Risk Analytics is the reference every risk manager needs to streamline the modeling

The Validation of Risk Models Book

The Validation of Risk Models


  • Author : S. Scandizzo
  • Publisher : Springer
  • Release Date : 2016-07-01
  • Genre: Business & Economics
  • Pages : 242
  • ISBN 10 : 9781137436962

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The Validation of Risk Models Book Description :

This book is a one-stop-shop reference for risk management practitioners involved in the validation of risk models. It is a comprehensive manual about the tools, techniques and processes to be followed, focused on all the models that are relevant in the capital requirements and supervisory review of large international banks.

Risk Model Validation Book

Risk Model Validation


  • Author : Peter Quell
  • Publisher :
  • Release Date : 2016
  • Genre: Risk management
  • Pages :
  • ISBN 10 : 1782722637

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Risk Model Validation Book Description :

Understanding and Managing Model Risk Book

Understanding and Managing Model Risk


  • Author : Massimo Morini
  • Publisher : John Wiley & Sons
  • Release Date : 2011-10-20
  • Genre: Business & Economics
  • Pages : 352
  • ISBN 10 : 9780470977743

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Understanding and Managing Model Risk Book Description :

A guide to the validation and risk management of quantitative models used for pricing and hedging Whereas the majority of quantitative finance books focus on mathematics and risk management books focus on regulatory aspects, this book addresses the elements missed by this literature--the risks of the models themselves. This book starts from regulatory issues, but translates them into practical suggestions to reduce the likelihood of model losses, basing model risk and validation on market experience and on a wide range of real-world examples, with a high level of detail and precise operative indications.

Credit Risk Analytics Book

Credit Risk Analytics


  • Author : Harald Scheule
  • Publisher : Createspace Independent Publishing Platform
  • Release Date : 2017-11-23
  • Genre: Bank loans
  • Pages : 264
  • ISBN 10 : 1977760864

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Credit Risk Analytics Book Description :

Credit risk analytics in R will enable you to build credit risk models from start to finish. Accessing real credit data via the accompanying website www.creditriskanalytics.net, you will master a wide range of applications, including building your own PD, LGD and EAD models as well as mastering industry challenges such as reject inference, low default portfolio risk modeling, model validation and stress testing. This book has been written as a companion to Baesens, B., Roesch, D. and Scheule, H., 2016. Credit Risk Analytics: Measurement Techniques, Applications, and Examples in SAS. John Wiley & Sons.

Financial Risk Management Book

Financial Risk Management


  • Author : Jimmy Skoglund
  • Publisher : John Wiley & Sons
  • Release Date : 2015-10-12
  • Genre: Business & Economics
  • Pages : 576
  • ISBN 10 : 9781119135517

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Financial Risk Management Book Description :

Presenting an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests, this guide offers the most up-to-date information and expert insight into real risk management, based on the authors' experience in developing and implementing risk analytics in banks around the globe. --

IFRS 9 and CECL Credit Risk Modelling and Validation Book

IFRS 9 and CECL Credit Risk Modelling and Validation


  • Author : Tiziano Bellini
  • Publisher : Academic Press
  • Release Date : 2019-02-08
  • Genre: Business & Economics
  • Pages : 316
  • ISBN 10 : 9780128149409

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IFRS 9 and CECL Credit Risk Modelling and Validation Book Description :

IFRS 9 and CECL Credit Risk Modelling and Validation covers a hot topic in risk management. Both IFRS 9 and CECL accounting standards require Banks to adopt a new perspective in assessing Expected Credit Losses. The book explores a wide range of models and corresponding validation procedures. The most traditional regression analyses pave the way to more innovative methods like machine learning, survival analysis, and competing risk modelling. Special attention is then devoted to scarce data and low default portfolios. A practical approach inspires the learning journey. In each section the theoretical dissertation is accompanied by Examples and Case Studies worked in R and SAS, the most widely used software packages used by practitioners in Credit Risk Management. Offers a broad survey that explains which models work best for mortgage, small business, cards, commercial real estate, commercial loans and other credit products Concentrates on specific aspects of the modelling process by focusing on lifetime estimates Provides an hands-on approach to enable readers to perform model development, validation and audit of credit risk models

Credit Risk Modeling using Excel and VBA Book

Credit Risk Modeling using Excel and VBA


  • Author : Gunter Löeffler
  • Publisher : John Wiley & Sons
  • Release Date : 2007-04-30
  • Genre: Business & Economics
  • Pages : 280
  • ISBN 10 : 9780470510742

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Credit Risk Modeling using Excel and VBA Book Description :

In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques, in this case credit. Credit Risk Modeling using Excel and VBA with DVD provides practitioners with a hands on introduction to credit risk modeling. Instead of just presenting analytical methods it shows how to implement them using Excel and VBA, in addition to a detailed description in the text a DVD guides readers step by step through the implementation. The authors begin by showing how to use option theoretic and statistical models to estimate a borrowers default risk. The second half of the book is devoted to credit portfolio risk. The authors guide readers through the implementation of a credit risk model, show how portfolio models can be validated or used to access structured credit products like CDO’s. The final chapters address modeling issues associated with the new Basel Accord.

The Validation of Risk Models Book

The Validation of Risk Models


  • Author : S. Scandizzo
  • Publisher : Springer
  • Release Date : 2016-07-01
  • Genre: Business & Economics
  • Pages : 242
  • ISBN 10 : 9781137436962

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The Validation of Risk Models Book Description :

This book is a one-stop-shop reference for risk management practitioners involved in the validation of risk models. It is a comprehensive manual about the tools, techniques and processes to be followed, focused on all the models that are relevant in the capital requirements and supervisory review of large international banks.

Developing Credit Risk Models Using SAS Enterprise Miner and SAS STAT Book

Developing Credit Risk Models Using SAS Enterprise Miner and SAS STAT


  • Author : Iain Brown
  • Publisher :
  • Release Date : 2019-07-03
  • Genre: Computers
  • Pages : 174
  • ISBN 10 : 1642953156

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Developing Credit Risk Models Using SAS Enterprise Miner and SAS STAT Book Description :

Combine complex concepts facing the financial sector with the software toolsets available to analysts. The credit decisions you make are dependent on the data, models, and tools that you use to determine them. Developing Credit Risk Models Using SAS Enterprise Miner and SAS/STAT: Theory and Applications combines both theoretical explanation and practical applications to define as well as demonstrate how you can build credit risk models using SAS Enterprise Miner and SAS/STAT and apply them into practice. The ultimate goal of credit risk is to reduce losses through better and more reliable credit decisions that can be developed and deployed quickly. In this example-driven book, Dr. Brown breaks down the required modeling steps and details how this would be achieved through the implementation of SAS Enterprise Miner and SAS/STAT. Users will solve real-world risk problems as well as comprehensively walk through model development while addressing key concepts in credit risk modeling. The book is aimed at credit risk analysts in retail banking, but its applications apply to risk modeling outside of the retail banking sphere. Those who would benefit from this book include credit risk analysts and managers alike, as well as analysts working in fraud, Basel compliancy, and marketing analytics. It is targeted for intermediate users with a specific business focus and some programming background is required. Efficient and effective management of the entire credit risk model lifecycle process enables you to make better credit decisions. Developing Credit Risk Models Using SAS Enterprise Miner and SAS/STAT: Theory and Applications demonstrates how practitioners can more accurately develop credit risk models as well as implement them in a timely fashion.

Model Risk in Financial Markets Book

Model Risk in Financial Markets


  • Author : Radu Tunaru
  • Publisher :
  • Release Date : 2015
  • Genre: Financial engineering
  • Pages :
  • ISBN 10 : 9814663417

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Model Risk in Financial Markets Book Description :

Rating Based Modeling of Credit Risk Book

Rating Based Modeling of Credit Risk


  • Author : Stefan Trueck
  • Publisher : Academic Press
  • Release Date : 2009-01-15
  • Genre: Business & Economics
  • Pages : 280
  • ISBN 10 : 0080920306

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Rating Based Modeling of Credit Risk Book Description :

In the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to evaluate the default risk of a bond or loan. The popularity is due to the straightforwardness of the approach, and to the upcoming new capital accord (Basel II), which allows banks to base their capital requirements on internal as well as external rating systems. Because of this, sophisticated credit risk models are being developed or demanded by banks to assess the risk of their credit portfolio better by recognizing the different underlying sources of risk. As a consequence, not only default probabilities for certain rating categories but also the probabilities of moving from one rating state to another are important issues in such models for risk management and pricing. It is widely accepted that rating migrations and default probabilities show significant variations through time due to macroeconomics conditions or the business cycle. These changes in migration behavior may have a substantial impact on the value-at-risk (VAR) of a credit portfolio or the prices of credit derivatives such as collateralized debt obligations (D+CDOs). In Rating Based Modeling of Credit Risk the authors develop a much more sophisticated analysis of migration behavior. Their contribution of more sophisticated techniques to measure and forecast changes in migration behavior as well as determining adequate estimators for transition matrices is a major contribution to rating based credit modeling. Internal ratings-based systems are widely used in banks to calculate their value-at-risk (VAR) in order to determine their capital requirements for loan and bond portfolios under Basel II One aspect of these ratings systems is credit migrations, addressed in a systematic and comprehensive way for the first time in this book The book is based on in-depth work by Trueck and Rachev

Credit Risk Scorecards Book

Credit Risk Scorecards


  • Author : Naeem Siddiqi
  • Publisher : John Wiley & Sons
  • Release Date : 2012-06-29
  • Genre: Business & Economics
  • Pages : 208
  • ISBN 10 : 9781118429167

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Credit Risk Scorecards Book Description :

Praise for Credit Risk Scorecards "Scorecard development is important to retail financial services in terms of credit risk management, Basel II compliance, and marketing of credit products. Credit Risk Scorecards provides insight into professional practices in different stages of credit scorecard development, such as model building, validation, and implementation. The book should be compulsory reading for modern credit risk managers." —Michael C. S. Wong Associate Professor of Finance, City University of Hong Kong Hong Kong Regional Director, Global Association of Risk Professionals "Siddiqi offers a practical, step-by-step guide for developing and implementing successful credit scorecards. He relays the key steps in an ordered and simple-to-follow fashion. A 'must read' for anyone managing the development of a scorecard." —Jonathan G. Baum Chief Risk Officer, GE Consumer Finance, Europe "A comprehensive guide, not only for scorecard specialists but for all consumer credit professionals. The book provides the A-to-Z of scorecard development, implementation, and monitoring processes. This is an important read for all consumer-lending practitioners." —Satinder Ahluwalia Vice President and Head-Retail Credit, Mashreqbank, UAE "This practical text provides a strong foundation in the technical issues involved in building credit scoring models. This book will become required reading for all those working in this area." —J. Michael Hardin, PhD Professor of StatisticsDepartment of Information Systems, Statistics, and Management ScienceDirector, Institute of Business Intelligence "Mr. Siddiqi has captured the true essence of the credit risk practitioner's primary tool, the predictive scorecard. He has combined both art and science in demonstrating the critical advantages that scorecards achieve when employed in marketing, acquisition, account management, and recoveries. This text should be part of every risk manager's library." —Stephen D. Morris Director, Credit R

Risk Modeling for Hazards and Disasters Book

Risk Modeling for Hazards and Disasters


  • Author : Gero Michel
  • Publisher : Elsevier
  • Release Date : 2017-08-29
  • Genre: Science
  • Pages : 338
  • ISBN 10 : 9780128040935

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Risk Modeling for Hazards and Disasters Book Description :

Risk Modeling for Hazards and Disasters covers all major aspects of catastrophe risk modeling, from hazards through to financial analysis. It explores relevant new science in risk modeling, indirect losses, assessment of impact and consequences to insurance losses, and current changes in risk modeling practice, along with case studies. It also provides further insight into the shortcomings of current models and examines model risk and ideas to diversify risk assessment. Risk Modeling for Hazards and Disasters instructs readers on how to assess, price and then hedge the losses from natural and manmade catastrophes. This book reviews current model development and science and explains recent changes in the catastrophe modeling space, including new initiatives covering uncertainty and big data in the assessment of risk for insurance pricing and portfolio management. Edited by a leading expert in both hazards and risk, this book is authored by a global panel including major modeling vendors, modeling consulting firms, and well-known catastrophe modeling scientists. Risk Modeling for Hazards and Disasters provides important insight into how models are used to price and manage risk. Includes high profile case studies such as the Newcastle earthquake, Hurricane Andrew and Hurricane Katrina Provides crucial information on new ideas and platforms that will help address the new demands for risk management and catastrophe risk reporting Presents the theory and practice needed to know how models are created and what is and what is not important in the modeling process Covers relevant new science in risk modeling, indirect losses, assessment of impact and consequences to insurance losses, and current changes in risk modeling practice, along with case studies