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  • THE ANALYTICS OF RISK MODEL VALIDATION
    ebook
    THE ANALYTICS OF RISK MODEL VALIDATION
    CHRISTODOULAKIS, GEORGE A. / SATCHELL, STEPHEN
    Risk model validation is an emerging and important area of research, and has arisen because of Basel I and II. These regulatory initiatives require trading institutions and lending institutions to compute their reserve capital in a highly analytic way, based on the use of internal risk models. It is part of the regulatory structure that these risk models be validated both inter...

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