Risk model validation

15 May 22

Risk management, Model risk, Models

A text book on risk model validation with a distinct focus on credit risk models.

Reading outline

  • Part 1: Quantitative risk models
    • Chapter 1: Basics of quantitative risk models
    • Chapter 2: Usage of statistics in quantitative risk models
    • Chapter 3: How can a risk model fail?
  • Part 2: Model risk and risk model validation
    • Chapter 4: The concepts of model risk and validation
    • Chapter 5: Model risk frameworks
    • Chapter 6: Validation tools
    • Chapter 7: Regulation
  • Part 3: Model risk in market risk models
    • Chapter 8: Stylized facts and classical approaches
    • Chapter 9: Benchmarking with machine learning
    • Chapter 10: Extending the risk horizon
  • Part 4: Model risk in credit risk models
    • Chapter 11: Modeling and simulation
    • Chapter 12: Data
    • Chapter 13: Model results
    • Chapter 14: Impact of machine learning, outlook and conclusions