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Internal Modelling and CAD II

Internal Modelling and CAD II

Internal Modelling and CAD II

Publisher: Risk Books
ISBN: 9781899332298
Published In: May 1999
Format: Paperback
Jurisdiction: International ? Disclaimer:
Countri(es) stated herein are used as reference only

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Description
Contents

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A report on the latest developments that aims to aid executive decision-making for both financial institutions and regulators.

15+ expert practitioners and academics assess various aspects of risk management in the context of the Basel 1996 amendment and the European CAD II documentation
Includes an overview from the BBA, perspectives on VAR and worst case scenario risk, extreme value, internal modelling and gaining model recognition

Preface

Internal Modelling and CAD II: An Overview

Richard Quinn

Value-at-Risk Models for Linear Exposures: An Empirical Comparison

Patricia Jackson, David J. Maude, and William Perraudin

Testing Backtesting

André Lucas

Calculating Value-at-Risk with Monte Carlo Simulation

Evan Picoult

Predictive Ability of Different Volatility Forecasting Techniques

Ashok P. Varikooty, John Liu, and Harry Huang

The Best of Both Worlds

Jacob Boudoukh, Mathew Richardson, and Robert Whitelaw

Expect the Worst

Jacob Boudoukh, Mathew Richardson, and Robert Whitelaw

Extreme Value Theory for Risk Managers

Alexander J. McNeil

Modelling Credit Risk Internally

Michael K. Ong

CAD II Model Recognition

Peter Stockwell

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