Risk Model Validation
Discipline: Quantitative Analysis
No of pages: 254
Quantitative risk models have been presented as one of the causes of the financial crisis that started in 2007. In this fully updated second edition, authors Christian Meyer and Peter Quell give a holistic view of risk models: their construction, appropriateness, validation and why they play such an important role in the financial markets.
Basics of Quantitative Risk Models
Usage of Statistics in Quantitative Risk Models
How Can a Risk Model Fail?
The Concepts of Model Risk and Validation
Model Risk Frameworks
The Short-term Perspective
A Benchmark Model for Market Risk
The Medium-term Perspective
Modelling and Simulation