Edited by
George Christodoulakis, Advisor to the Governor of the Bank of Greece and Assistant Professor of Finance, Manchester Business School, U.K.
Stephen Satchell, Consultant to financial institutions and Reader in Financial Econometrics at Trinity College, Cambridge, Stephen Satchell is Editor-in-Chief
of the Journal of Asset Management and Derivatives, Use, Trading, and Regulation. He has edited or authored over 20 books on finance.
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.
Included in series
Quantitative Finance
Audience:
Primary audience: Investment Professionals and academics
