Introduction: A Model Risk Primer PART I: A FRAMEWORK FOR RISK MODEL VALIDATION 1. Validation, governance and supervision 2. A validation framework for risk models PART II: CREDIT RISK 3. Credit risk models 4. Probability of default models 5. Loss Given Default models 6. Exposure at Default models PART III: MARKET RISK 7. Value at risk models 8. Interest rate risk on the banking book PART IV: COUNTERPARTY CREDIT RISK 9. Counterparty Credit Risk Models PART V: OPERATIONAL RISK 10. The validation of AMA models 11. Use test for operational risk PART VI: PILLAR 2 MODELS 12. Economic capital models 13. Stress testing models 14. Conclusion
Introduction: A Model Risk Primer PART I: A FRAMEWORK FOR RISK MODEL VALIDATION 1. Validation, governance and supervision 2. A validation framework for risk models PART II: CREDIT RISK 3. Credit risk models 4. Probability of default models 5. Loss Given Default models 6. Exposure at Default models PART III: MARKET RISK 7. Value at risk models 8. Interest rate risk on the banking book PART IV: COUNTERPARTY CREDIT RISK 9. Counterparty Credit Risk Models PART V: OPERATIONAL RISK 10. The validation of AMA models 11. Use test for operational risk PART VI: PILLAR 2 MODELS 12. Economic capital models 13. Stress testing models 14. Conclusion
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