Download or read book Understanding and Managing Model Risk written by Massimo Morini and published by John Wiley & Sons. This book was released on 2011-10-20 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide to the validation and risk management of quantitative models used for pricing and hedging Whereas the majority of quantitative finance books focus on mathematics and risk management books focus on regulatory aspects, this book addresses the elements missed by this literature--the risks of the models themselves. This book starts from regulatory issues, but translates them into practical suggestions to reduce the likelihood of model losses, basing model risk and validation on market experience and on a wide range of real-world examples, with a high level of detail and precise operative indications.

Download or read book Managing Model Risk written by Bart Baesens and published by . This book was released on 2021-06-30 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: Get up to speed on identifying and tackling model risk! Managing Model Risk provides data science practitioners, business professionals and analytics managers with a comprehensive guide to understand and tackle the fundamental concept of analytical model risk in terms of data, model specification, model development, model validation, model operationalization, model security and model management. Providing state of the art industry and research insights based on the author''s extensive experience, this illustrated textbook has a well-balanced theory-practice focus and covers all essential topics. Key Features: Extensive coverage of important trending topics and their risk impact on analytical models, starting from the raw data up until the operationalization, security and management. Various examples and case studies to highlight the topics discussed. Key references to background literature for further clarification. An online website with various add-ons and recent developments: www.managingmodelriskbook.com. What Makes this Book Different? This book is based on both authors having worked in analytics for more than 30 years combined, both in industry and academia. Both authors have co-authored more than 300 scientific publications on analytics and machine learning and have worked with firms in different industries, including (online) retailers, financial institutions, manufacturing firms, insurance providers, governments, etc. all over the globe estimating, deploying and validating analytical models. Throughout this time, we have read many books about analytical modeling and data science, which are typically written from the perspective of a theorist, providing lots of details with regards to different model algorithms and related mathematics, but with limited attention being given to how such models are used in practice. If such concerns are tackled, it is mainly from an implementation, use case or data engineering perspective. From our own experience, however, we have encountered many cases where analytics, AI, machine learning etc. fail in organizations, even with skilled people working on them, due to a myriad of reasons: bad data quality, difficulties in terms of model deployment, lack of model buy-in, incorrect definitions of underlying goals, wrong evaluation metrics, unrealistic expectations and many other issues can arise which cause models to fail in practice. Most of these issues have nothing to do with the actual algorithm being used to construct the model, but rather with everything else surrounding it: data, governance, maintenance, business, management, the economy, budgeting, culture etc. As such, we wanted to offer a new perspective with this book: it aims to provide a unique mix of both practical and research-based insights and report on do''s and don''ts for model risk management. Model risk issues are not only highlighted but also recommendations are given on how to deal with them, where possible. Target Audience This book is targeted towards everyone who has previously been exposed to both predictive and descriptive analytics. The reader should hence have some basic understanding of the analytics process model, the key activities of data preprocessing, the steps involved in developing a predictive analytics model (using e.g. linear or logistic regression, decision trees, etc.) and a descriptive analytics model (using e.g. association or sequence rules or clustering techniques). It is also important to be aware of how an analytical model can be properly evaluated, both in terms of accuracy and interpretation. This book aims to offer a comprehensive guide for both data scientists as well as (C-level) executives and data science or engineering leads, decision-makers and managers who want to know the key underlying concepts of analytical model risk.

Download or read book Model Risk Management with SAS written by SAS and published by SAS Institute. This book was released on 2020-06-29 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cut through the complexity of model risk management with a guide to solutions from SAS! There is an increasing demand for more model governance and model risk awareness. At the same time, high-performing models are expected to be deployed faster than ever. SAS Model Risk Management is a user-friendly, web-based application that facilitates the capture and life cycle management of statistical model-related information. It enables all stakeholders in the model life cycle — developers, validators, internal audit, and management – to get overview reports as well as detailed information in one central place. Model Risk Management with SAS introduces you to the features and capabilities of this software, including the entry, collection, transfer, storage, tracking, and reporting of models that are drawn from multiple lines of business across an organization. This book teaches key concepts, terminology, and base functionality that are integral to SAS Model Risk Management through hands-on examples and demonstrations. With this guide to SAS Model Risk Management, your organization can be confident it is making fact-based decisions and mitigating model risk.

Download or read book Model Risk written by Harald Scheule and published by . This book was released on 2010 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book aims to provide solutions on how to include model risk into existing risk measurement frameworks. It also aims to provide solutions on how to build models of higher accuracy and thus lower model risk.

Download or read book Risk Modeling Assessment and Management written by Yacov Y. Haimes and published by John Wiley & Sons. This book was released on 2011-09-20 with total page 810 pages. Available in PDF, EPUB and Kindle. Book excerpt: Examines timely multidisciplinary applications, problems, and case histories in risk modeling, assessment, and management Risk Modeling, Assessment, and Management, Third Edition describes the state of the art of risk analysis, a rapidly growing field with important applications in engineering, science, manufacturing, business, homeland security, management, and public policy. Unlike any other text on the subject, this definitive work applies the art and science of risk analysis to current and emergent engineering and socioeconomic problems. It clearly demonstrates how to quantify risk and construct probabilities for real-world decision-making problems, including a host of institutional, organizational, and political issues. Avoiding higher mathematics whenever possible, this important new edition presents basic concepts as well as advanced material. It incorporates numerous examples and case studies to illustrate the analytical methods under discussion and features restructured and updated chapters, as well as: A new chapter applying systems-driven and risk-based analysis to a variety of Homeland Security issues An accompanying FTP site—developed with Professor Joost Santos—that offers 150 example problems with an Instructor's Solution Manual and case studies from a variety of journals Case studies on the 9/11 attack and Hurricane Katrina An adaptive multiplayer Hierarchical Holographic Modeling (HHM) game added to Chapter Three This is an indispensable resource for academic, industry, and government professionals in such diverse areas as homeland and cyber security, healthcare, the environment, physical infrastructure systems, engineering, business, and more. It is also a valuable textbook for both undergraduate and graduate students in systems engineering and systems management courses with a focus on our uncertain world.

Download or read book Bayesian Risk Management written by Matt Sekerke and published by John Wiley & Sons. This book was released on 2015-09-15 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: A risk measurement and management framework that takes model risk seriously Most financial risk models assume the future will look like the past, but effective risk management depends on identifying fundamental changes in the marketplace as they occur. Bayesian Risk Management details a more flexible approach to risk management, and provides tools to measure financial risk in a dynamic market environment. This book opens discussion about uncertainty in model parameters, model specifications, and model-driven forecasts in a way that standard statistical risk measurement does not. And unlike current machine learning-based methods, the framework presented here allows you to measure risk in a fully-Bayesian setting without losing the structure afforded by parametric risk and asset-pricing models. Recognize the assumptions embodied in classical statistics Quantify model risk along multiple dimensions without backtesting Model time series without assuming stationarity Estimate state-space time series models online with simulation methods Uncover uncertainty in workhorse risk and asset-pricing models Embed Bayesian thinking about risk within a complex organization Ignoring uncertainty in risk modeling creates an illusion of mastery and fosters erroneous decision-making. Firms who ignore the many dimensions of model risk measure too little risk, and end up taking on too much. Bayesian Risk Management provides a roadmap to better risk management through more circumspect measurement, with comprehensive treatment of model uncertainty.

Download or read book Advances in Credit Risk Modeling and Management written by Frédéric Vrins and published by MDPI. This book was released on 2020-07-01 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk remains one of the major risks faced by most financial and credit institutions. It is deeply connected to the real economy due to the systemic nature of some banks, but also because well-managed lending facilities are key for wealth creation and technological innovation. This book is a collection of innovative papers in the field of credit risk management. Besides the probability of default (PD), the major driver of credit risk is the loss given default (LGD). In spite of its central importance, LGD modeling remains largely unexplored in the academic literature. This book proposes three contributions in the field. Ye & Bellotti exploit a large private dataset featuring non-performing loans to design a beta mixture model. Their model can be used to improve recovery rate forecasts and, therefore, to enhance capital requirement mechanisms. François uses instead the price of defaultable instruments to infer the determinants of market-implied recovery rates and finds that macroeconomic and long-term issuer specific factors are the main determinants of market-implied LGDs. Cheng & Cirillo address the problem of modeling the dependency between PD and LGD using an original, urn-based statistical model. Fadina & Schmidt propose an improvement of intensity-based default models by accounting for ambiguity around both the intensity process and the recovery rate. Another topic deserving more attention is trade credit, which consists of the supplier providing credit facilities to his customers. Whereas this is likely to stimulate exchanges in general, it also magnifies credit risk. This is a difficult problem that remains largely unexplored. Kanapickiene & Spicas propose a simple but yet practical model to assess trade credit risk associated with SMEs and microenterprises operating in Lithuania. Another topical area in credit risk is counterparty risk and all other adjustments (such as liquidity and capital adjustments), known as XVA. Chataignier & Crépey propose a genetic algorithm to compress CVA and to obtain affordable incremental figures. Anagnostou & Kandhai introduce a hidden Markov model to simulate exchange rate scenarios for counterparty risk. Eventually, Boursicot et al. analyzes CoCo bonds, and find that they reduce the total cost of debt, which is positive for shareholders. In a nutshell, all the featured papers contribute to shedding light on various aspects of credit risk management that have, so far, largely remained unexplored.

Download or read book Risk Management Handbook written by Federal Aviation Administration and published by Simon and Schuster. This book was released on 2012-07-03 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: Every day in the United States, over two million men, women, and children step onto an aircraft and place their lives in the hands of strangers. As anyone who has ever flown knows, modern flight offers unparalleled advantages in travel and freedom, but it also comes with grave responsibility and risk. For the first time in its history, the Federal Aviation Administration has put together a set of easy-to-understand guidelines and principles that will help pilots of any skill level minimize risk and maximize safety while in the air. The Risk Management Handbook offers full-color diagrams and illustrations to help students and pilots visualize the science of flight, while providing straightforward information on decision-making and the risk-management process.

Download or read book The Credit Scoring Toolkit written by Raymond Anderson and published by Oxford University Press. This book was released on 2007-08-30 with total page 791 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Credit Scoring Toolkit provides an all-encompassing view of the use of statistical models to assess retail credit risk and provide automated decisions.In eight modules, the book provides frameworks for both theory and practice. It first explores the economic justification and history of Credit Scoring, risk linkages and decision science, statistical and mathematical tools, the assessment of business enterprises, and regulatory issues ranging from data privacy to Basel II. It then provides a practical how-to-guide for scorecard development, including data collection, scorecard implementation, and use within the credit risk management cycle.Including numerous real-life examples and an extensive glossary and bibliography, the text assumes little prior knowledge making it an indispensable desktop reference for graduate students in statistics, business, economics and finance, MBA students, credit risk and financial practitioners.

Download or read book Financial Risk Management written by Allan M. Malz and published by John Wiley & Sons. This book was released on 2011-09-13 with total page 752 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial risk has become a focus of financial and nonfinancial firms, individuals, and policy makers. But the study of risk remains a relatively new discipline in finance and continues to be refined. The financial market crisis that began in 2007 has highlighted the challenges of managing financial risk. Now, in Financial Risk Management, author Allan Malz addresses the essential issues surrounding this discipline, sharing his extensive career experiences as a risk researcher, risk manager, and central banker. The book includes standard risk measurement models as well as alternative models that address options, structured credit risks, and the real-world complexities or risk modeling, and provides the institutional and historical background on financial innovation, liquidity, leverage, and financial crises that is crucial to practitioners and students of finance for understanding the world today. Financial Risk Management is equally suitable for firm risk managers, economists, and policy makers seeking grounding in the subject. This timely guide skillfully surveys the landscape of financial risk and the financial developments of recent decades that culminated in the crisis. The book provides a comprehensive overview of the different types of financial risk we face, as well as the techniques used to measure and manage them. Topics covered include: Market risk, from Value-at-Risk (VaR) to risk models for options Credit risk, from portfolio credit risk to structured credit products Model risk and validation Risk capital and stress testing Liquidity risk, leverage, systemic risk, and the forms they take Financial crises, historical and current, their causes and characteristics Financial regulation and its evolution in the wake of the global crisis And much more Combining the more model-oriented approach of risk management-as it has evolved over the past two decades-with an economist's approach to the same issues, Financial Risk Management is the essential guide to the subject for today's complex world.

Download or read book Measuring and Managing Information Risk written by Jack Freund and published by Butterworth-Heinemann. This book was released on 2014-08-23 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using the factor analysis of information risk (FAIR) methodology developed over ten years and adopted by corporations worldwide, Measuring and Managing Information Risk provides a proven and credible framework for understanding, measuring, and analyzing information risk of any size or complexity. Intended for organizations that need to either build a risk management program from the ground up or strengthen an existing one, this book provides a unique and fresh perspective on how to do a basic quantitative risk analysis. Covering such key areas as risk theory, risk calculation, scenario modeling, and communicating risk within the organization, Measuring and Managing Information Risk helps managers make better business decisions by understanding their organizational risk. - Uses factor analysis of information risk (FAIR) as a methodology for measuring and managing risk in any organization. - Carefully balances theory with practical applicability and relevant stories of successful implementation. - Includes examples from a wide variety of businesses and situations presented in an accessible writing style.

Download or read book Managing Risk of Financial Models written by Aruna Joshi and published by . This book was released on 2017-09-20 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: How can a reputable hedge fund with sophisticated financial models collapse?Why do two borrowers with similar FICO scores pay different mortgage rates?What is the hype about stress testing for big banks?This book is for you if:You are a math nerd considering a career in financeYou financial institution is trying to grow its nascent model risk management programYou are interested in risk managementThis book is a simple, step-by-step guide to how top institutions determine what is a model, how to identify, assess, and mitigate model risk, and how to report to senior management.Using practical examples, this book gives an overview of the state of the art methods applied in establishing and maintaining a strong model risk management program at a financial institution.

Download or read book Modeling Measuring and Managing Risk written by Georg Ch Pflug and published by World Scientific. This book was released on 2007 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the first in the market to treat single- and multi-period risk measures (risk functionals) in a thorough, comprehensive manner. It combines the treatment of properties of the risk measures with the related aspects of decision making under risk.The book introduces the theory of risk measures in a mathematically sound way. It contains properties, characterizations and representations of risk functionals for single-period and multi-period activities, and also shows the embedding of such functionals in decision models and the properties of these models.

Download or read book The Validation of Risk Models written by S. Scandizzo and published by Springer. This book was released on 2016-07-01 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a one-stop-shop reference for risk management practitioners involved in the validation of risk models. It is a comprehensive manual about the tools, techniques and processes to be followed, focused on all the models that are relevant in the capital requirements and supervisory review of large international banks.

Download or read book Risk Modeling for Hazards and Disasters written by Gero Michel and published by Elsevier. This book was released on 2017-08-29 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk Modeling for Hazards and Disasters covers all major aspects of catastrophe risk modeling, from hazards through to financial analysis. It explores relevant new science in risk modeling, indirect losses, assessment of impact and consequences to insurance losses, and current changes in risk modeling practice, along with case studies. It also provides further insight into the shortcomings of current models and examines model risk and ideas to diversify risk assessment. Risk Modeling for Hazards and Disasters instructs readers on how to assess, price and then hedge the losses from natural and manmade catastrophes. This book reviews current model development and science and explains recent changes in the catastrophe modeling space, including new initiatives covering uncertainty and big data in the assessment of risk for insurance pricing and portfolio management. Edited by a leading expert in both hazards and risk, this book is authored by a global panel including major modeling vendors, modeling consulting firms, and well-known catastrophe modeling scientists. Risk Modeling for Hazards and Disasters provides important insight into how models are used to price and manage risk. - Includes high profile case studies such as the Newcastle earthquake, Hurricane Andrew and Hurricane Katrina - Provides crucial information on new ideas and platforms that will help address the new demands for risk management and catastrophe risk reporting - Presents the theory and practice needed to know how models are created and what is and what is not important in the modeling process - Covers relevant new science in risk modeling, indirect losses, assessment of impact and consequences to insurance losses, and current changes in risk modeling practice, along with case studies

Download or read book Health Risks from Exposure to Low Levels of Ionizing Radiation written by Committee to Assess Health Risks from Exposure to Low Levels of Ionizing Radiation and published by National Academies Press. This book was released on 2006-03-23 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the seventh in a series of titles from the National Research Council that addresses the effects of exposure to low dose LET (Linear Energy Transfer) ionizing radiation and human health. Updating information previously presented in the 1990 publication, Health Effects of Exposure to Low Levels of Ionizing Radiation: BEIR V, this book draws upon new data in both epidemiologic and experimental research. Ionizing radiation arises from both natural and man-made sources and at very high doses can produce damaging effects in human tissue that can be evident within days after exposure. However, it is the low-dose exposures that are the focus of this book. So-called “late” effects, such as cancer, are produced many years after the initial exposure. This book is among the first of its kind to include detailed risk estimates for cancer incidence in addition to cancer mortality. BEIR VII offers a full review of the available biological, biophysical, and epidemiological literature since the last BEIR report on the subject and develops the most up-to-date and comprehensive risk estimates for cancer and other health effects from exposure to low-level ionizing radiation.

Download or read book Model Risk Management written by Ludger Rüschendorf and published by Cambridge University Press. This book was released on 2024-01-31 with total page 347 pages. Available in PDF, EPUB and Kindle. Book excerpt: Develop the tools to quantify model risk, to study its effects in finance, insurance, and engineering, and to reduce it.