The Validation of Risk Models

S. Scandizzo

ISBN 10: 1137436956 / ISBN 13: 9781137436955

Published by Palgrave Macmillan, GB, 2016

About this Item

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.

Seller Inventory # LU-9781137436955

Bibliographic Details

• Title: The Validation of Risk Models
• Publisher: Palgrave Macmillan, GB
• Publication Date: 2016
• Language: English
• ISBN 10: 1137436956
• ISBN 13: 9781137436955
• Binding: Hardback
• Condition: New

About this title

Synopsis

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.

About the Author

Sergio Scandizzo is the Head of Model Validation at the European Investment Bank (EIB) in Luxembourg. He is the author of Risk and Governance: A Framework for Banking Organisations; The Operational Risk Manager's Guide, now in its second edition, and of Validation and Use Test in AMA. He is Associate Editor of The Journal of Operational Risk and has published several journal papers on fuzzy logic, genetic algorithms and risk management.