A First Course in Model Validation and Model Risk Management

個数:
  • 予約

A First Course in Model Validation and Model Risk Management

  • 現在予約受付中です。出版後の入荷・発送となります。
    重要:表示されている発売日は予定となり、発売が延期、中止、生産限定品で商品確保ができないなどの理由により、ご注文をお取消しさせていただく場合がございます。予めご了承ください。

    ●3Dセキュア導入とクレジットカードによるお支払いについて
  • 【入荷遅延について】
    世界情勢の影響により、海外からお取り寄せとなる洋書・洋古書の入荷が、表示している標準的な納期よりも遅延する場合がございます。
    おそれいりますが、あらかじめご了承くださいますようお願い申し上げます。
  • ◆画像の表紙や帯等は実物とは異なる場合があります。
  • ◆ウェブストアでの洋書販売価格は、弊社店舗等での販売価格とは異なります。
    また、洋書販売価格は、ご注文確定時点での日本円価格となります。
    ご注文確定後に、同じ洋書の販売価格が変動しても、それは反映されません。
  • 製本 Paperback:紙装版/ペーパーバック版/ページ数 400 p.
  • 言語 ENG
  • 商品コード 9780443337468

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 AND MARKET RISK MODELS
5. Marked-to-Market Asset Classes
6. Marked-to-Model Asset Classes
7. Market Risk I: Statistical Measures
8. Market Risk II: Stress Testing

PART III. VALIDATION OF CREDIT MODELS
9. Issuer Credit Risk
10. Counterparty Credit Risk
11. Correlation Credit Risk

PART IV. VALIDATION OF OTHER MODELS AND GOVERNANCE
12. Portfolio Risk
13. Operational Risk
14. Capital Model Risk
15. Artificial Intelligence: Models, Enhancements to MRM, and Regulation
16. Miscellaneous topics in Model Risk
17. Model Governance

最近チェックした商品