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Financial models are an inescapable feature of modern financial markets. Yet it was over reliance on these models and the failure to test them properly that is now widely recognized as one of the main causes of the financial crisis of 2007–2011. Since this crisis, there has been an increase in the amount of scrutiny and testing applied to such models, and validation has become an essential part of model risk management at financial institutions. The book covers all of the major risk areas that a financial institution is exposed to and uses models for, including market risk, interest rate risk, retail credit risk, wholesale credit risk, compliance risk, and investment management. The book discusses current practices and pitfalls that model risk users need to be aware of and identifies areas where validation can be advanced in the future. This provides the first unified framework for validating risk management models.
Common Elements in Validation of Risk Models Used in Financial Institutions
Validating Bank Holding Companies' Value-at-Risk Models for Market Risk
A Conditional Testing Approach for Value-at-Risk Model Performance Evaluation
Beyond Exceedance-Based Backtesting of Value-at-Risk Models: Methods for Backtesting the Entire Forecasting Distribution Using Probability Integral Transform
Evaluation of Value-at-Risk Models: An Empirical Likelihood Approach
Evaluating Banks' Value-at-Risk Models during the COVID-19 Crisis
Performance Monitoring for Supervisory Stress-Testing Models
Counterparty Credit Risk
Validation of Retail Credit Risk Models
Issues in the Validation of Wholesale Credit Risk Models
Case Studies in Wholesale Risk Model Validation
Validation of Models Used by Banks to Estimate Their Allowance for Loan and Lease Losses
Operational Risk
Statistical Decisioning Tools for Model Risk Management
Validation of Risk Aggregation in Economic Capital Models
Model Validation of Interest Rate Risk (Banking Book) Models
Validation of Risk Management Models in Investment Management