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Full Description
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.
Contents
1. Common elements in validation of risk models used in financial institutions Iftekhar Hasan, David Lynch and Akhtar Siddique; 2. Validating bank holding companies value at risk models for market risk David Lynch; 3. A conditional testing approach for VaR model performance evaluation Victor Ng; 4. Beyond exceedance based backtesting of value at risk models Diana Iercosan, Alysa Scherbakova, David McArthur and Rebecca Alber; 5. Evaluation of value at risk models: an empirical likelihood approach David Lynch, Valerio Poti, Akhtar Siddique and Francesco Campobasso; 6. Evaluating banks' value at risk models during the COVID-19 crisis Chris Anderson and Dennis Mawhirter; 7. Performance monitoring for supervisory stress-testing models Nick Klagge and Jose A. Lopez; 8. Counterparty credit risk Eduardo Canabarro; 9. Validation of retail credit risk models Sang-Sub Lee and Feng Li; 10. Issues in the validation of wholesale credit risk models Jonathan Jones and Debashish Sarkar; 11. Case studies in wholesale risk model validation Debashish Sarkar; 12. Validation of models used by banks to estimate their allowance for loan and lease losses Partha Sengupta; 13. Modeling operational risk Filippo Curti, Marco Migueis and Robert Stewart; 14. Statistical decisioning for compliance risk management Bhojnarine R. Rambharat; 15. Validation of risk aggregation in economic capital models Ibrahim Ergen, Hulusi Inanoglu and David Lynch; 16. Model validation of interest rate risk (Banking Book) models Ashish Dev; 17. Validation of risk management models in investment management Akhtar Siddique.
