- ホーム
- > 洋書
- > 英文書
- > Personal Finance
Full Description
A First Course in Model Validation and Model Risk Management offers robust coverage for current and future financial engineers. Useful as part of a masters program, for self-study, or as a valuable reference, the textbook explains in step-by-step, practical terms how mathematical models owned by financial institutions are essential to their public activities, including sales, trading, risk management, and internal audits. Like a diverse fleet of cars maintained by a rental car location, a bank must make sure customers can "drive" any of its models for a specific financial product. The book covers both pricing and risk models. Chapters consider modeling basics, marked-to-market and marked-to-model asset classes, market risk, credit risk, portfolio risk, operational risk, capital model risk, and financial crime, along with machine learning/AI.
To support course use and practical applications, the text provides examples in Python throughout, as well as an appendix containing homework problems for all chapters, further supported by an ftp site for data and sample code. Additional appendices cover global model risk management, and a refresher in statistics.
Contents
PART I. KEY CONCEPTS OF MODEL RISK MANAGEMENT
1. Introductory material
2. Model Basics
3. Standards
4. Techniques
PART II. VALIDATION OF PRICING MODELS
5. Marked-to-Market Asset Classes
6. Marked-to-Model Asset Classes
PART III: VALIDATION OF RISK MODELS
7. Market Risk
8. Credit Risk
9. Portfolio Risk
10. Operational Risk
11. Capital Model Risk
12. Artificial Intelligence Model Risk
13. Miscellaneous topics in Model Risk
14. References
15. Appendix: Statistics Refresher
16. Appendix: Glossary of Abbreviations
