Validation of Risk Management Models for Financial Institutions: Theory and Practice

— —

David Lynch (Federal Reserve Board of Governors) Iftekhar Hasan (Fordham University Graduate Schools of Business)

Validation of Risk Management Models for Financial Institutions

Theory and Practice

David Lynch (Federal Reserve Board of Governors), Iftekhar Hasan (Fordham University Graduate Schools of Business), Akhtar Siddique (Office of the Comptroller of the Currency)

$226.95

Hardback

Not in-store but you can order this
How long will it take?

Availability Information

We source books from suppliers in Australia and overseas. For books we don't currently have in stock, the time it takes to get them from our suppliers can vary widely - from a few days to a few months - so we check each book with each supplier to determine the expected time it will take to be supplied to us.

We then advise you accordingly. If the time taken to get any book is too long for you, you can let us know and we will cancel or adjust your order, and refund as required.

To find out the anticipated arrival time for specific items prior to ordering, please contact us by phone or email:

Phone +61 2 9264 3111, or 1800 4 BOOKS (1800 4 26657) if outside Sydney:
option 1 Abbey's Bookshop (Crime, History, Science, Kids & more) • info@abbeys.com.au
option 2 Language Book Centre (ESL & Foreign Languages) • language@abbeys.com.au
option 3 Galaxy Bookshop (Sci-fi, Fantasy, Romance, Graphic Novels) • sf@galaxybooks.com.au

QTY:

English

Cambridge University Press
09 March 2023

Econometrics; Finance

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.

Edited by: David Lynch (Federal Reserve Board of Governors), Iftekhar Hasan (Fordham University Graduate Schools of Business), Akhtar Siddique (Office of the Comptroller of the Currency)
Imprint: Cambridge University Press
Country of Publication: United Kingdom
Dimensions: Height: 235mm, Width: 155mm, Spine: 29mm
Weight: 890g
ISBN: 9781108497350
ISBN 10: 1108497357
Pages: 400
Publication Date: 09 March 2023
Audience: College/higher education , Primary
Format: Hardback
Publisher's Status: Active

David Lynch is Deputy Associate Director for Policy Research and Analytics at the Board of Governors of the Federal Reserve System. He joined the board in 2005, and his areas of responsibility include Volcker metrics, swap margin and oversight of models for market risk capital and counterparty risk capital. Iftekhar Hasan is University Professor and E. Gerald Corrigan Chair in Finance at Fordham University. He is the editor of the Journal of Financial Stability and is among the most widely cited academics in the world. Akhtar Siddique taught finance at Georgetown University after his finance Ph.D. at Duke University. He has published extensively in leading finance journals and currently works at the Office of the Comptroller of the Currency.