Validation and Use Test in AMA

Author: Sergio Scandizzo
Publisher: Risk Books
ISBN: 9781906348045
Published In: December 2007
Format: Paperback
Jurisdiction: International ? Disclaimer:
Countri(es) stated herein are used as reference only

Out of stock

Description
Contents
Author
Reviews

Details

As the deadline for implementation approaches, mastering validation is no longer an option, but a must. This new executive report guides you through all the key steps required to validate an AMA approach, with the main objective of obtaining regulatory approval.

Written by an industry specialist, with over ten years op risk experience, this executive report serves as a working manual for operational risk professionals preparing to submit their AMA application. This essential resource will help you to ensure that your models are fully compliant. It will also prove a vital reference for auditors and regulators assessing these models.

With analysis and examples of the current methodology and regulation, this best practice guide allows you to benchmark your methods. Furthermore, it provides you with the tools and techniques needed to:

Clearly document your validation process
Explain and justify your modeling choices
Assess the strengths and weaknesses of your models
Anticipate any issues auditors might raise.

It concludes with a detailed discussion of the role of the user test, demonstrating how the measurement model is integrated into day-to-day risk management.

Preface

1. An Introduction to Model Validation

1.1. Definitions

1.2. Validation policy

1.3. Key components of validation

1.4. Validation of AMA models

2. Risk Measurement Process

2.1. Input validation

2.2. Model validation

Appendix A - An input-output model for operational interdependence in a complex organisation.

Appendix B - Discrete and continuous probability distributions

3. The AMA Validation Process

3.1. The AMA model

3.2. The validation policy

3.3. The validation report

3.4. Conclusions

4. The User Test

4.1. Not just a compliance exercise

4.2. Maintenance and evolution

4.3. AMA and the management of operational risk

4.4. AMA and the management of the bank: is it adding value?

Appendix A - Specimen of model documentation for model validation

5. Conclusions

Appendix: An AMA Validation Checklist

References

Index

Sergio Scandizzo

Sergio Scandizzo is head of the Operational Risk Unit at the European Investment Bank (EIB) in Luxembourg. Prior to his position at the EIB he was senior manager in the London office of PricewaterhouseCoopers and, prior to that, a senior manager of the Operational Risk Group at the Canadian Imperial Bank of Commerce in Toronto. He holds degrees in computer science and finance.

Sergio was a contributing author to the award-winning Risk Books title Advanced Measurement Approach to Operational Risk, edited by Ellen Davis. He is also the author of several journal papers on the subjects of fuzzy logic, genetic algorithms and risk management.

Sergio is the author of Validation and Use Test in AMA also published by Risk Books

Glyn Holton, Contingency Analysis on The Operational Risk Manager’s Guide, also by Sergio Scandizzo:

“This is the best book on financial risk management I have read in a long time. If you work anywhere in the middle office, read it.“