Book contents
- Validation of Risk Management Models for Financial Institutions
- Validation of Risk Management Models for Financial Institutions
- Copyright page
- Contents
- Figures
- Tables
- Contributors
- Foreword
- Acknowledgments
- 1 Common Elements in Validation of Risk Models Used in Financial Institutions
- 2 Validating Bank Holding Companies’ Value-at-Risk Models for Market Risk
- 3 A Conditional Testing Approach for Value-at-Risk Model Performance Evaluation
- 4 Beyond Exceedance-Based Backtesting of Value-at-Risk Models: Methods for Backtesting the Entire Forecasting Distribution Using Probability Integral Transform
- 5 Evaluation of Value-at-Risk Models: An Empirical Likelihood Approach
- 6 Evaluating Banks’ Value-at-Risk Models during the COVID-19 Crisis
- 7 Performance Monitoring for Supervisory Stress-Testing Models
- 8 Counterparty Credit Risk
- 9 Validation of Retail Credit Risk Models
- 10 Issues in the Validation of Wholesale Credit Risk Models
- 11 Case Studies in Wholesale Risk Model Validation
- 12 Validation of Models Used by Banks to Estimate Their Allowance for Loan and Lease Losses
- 13 Operational Risk
- 14 Statistical Decisioning Tools for Model Risk Management
- 15 Validation of Risk Aggregation in Economic Capital Models
- 16 Model Validation of Interest Rate Risk (Banking Book) Models
- 17 Validation of Risk Management Models in Investment Management
- Index
- References
11 - Case Studies in Wholesale Risk Model Validation
Published online by Cambridge University Press: 02 March 2023
Book contents
- Validation of Risk Management Models for Financial Institutions
- Validation of Risk Management Models for Financial Institutions
- Copyright page
- Contents
- Figures
- Tables
- Contributors
- Foreword
- Acknowledgments
- 1 Common Elements in Validation of Risk Models Used in Financial Institutions
- 2 Validating Bank Holding Companies’ Value-at-Risk Models for Market Risk
- 3 A Conditional Testing Approach for Value-at-Risk Model Performance Evaluation
- 4 Beyond Exceedance-Based Backtesting of Value-at-Risk Models: Methods for Backtesting the Entire Forecasting Distribution Using Probability Integral Transform
- 5 Evaluation of Value-at-Risk Models: An Empirical Likelihood Approach
- 6 Evaluating Banks’ Value-at-Risk Models during the COVID-19 Crisis
- 7 Performance Monitoring for Supervisory Stress-Testing Models
- 8 Counterparty Credit Risk
- 9 Validation of Retail Credit Risk Models
- 10 Issues in the Validation of Wholesale Credit Risk Models
- 11 Case Studies in Wholesale Risk Model Validation
- 12 Validation of Models Used by Banks to Estimate Their Allowance for Loan and Lease Losses
- 13 Operational Risk
- 14 Statistical Decisioning Tools for Model Risk Management
- 15 Validation of Risk Aggregation in Economic Capital Models
- 16 Model Validation of Interest Rate Risk (Banking Book) Models
- 17 Validation of Risk Management Models in Investment Management
- Index
- References
Summary
This chapter presents several case studies in the validation of wholesale credit risk models. The steps for each case study include the following: (1) use of the model; (2) internal and external data; (3) model assumptions and methodologies; (4) model performance; (5) outcomes analysis; and (6) the quality and comprehensiveness of development documentation.
- Type
- Chapter
- Information
- Validation of Risk Management Models for Financial InstitutionsTheory and Practice, pp. 263 - 294Publisher: Cambridge University PressPrint publication year: 2023
References
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BCBS, (2005). Update on Work of the Accord Implementation Group Related to validation Under the Basel II Framework, Basel Committee Newsletter, No. 4.Google Scholar
BCBS, (2005). Validation of low-default portfolios in the Basel II Framework, No. 6 (September 2005).Google Scholar
BCBS, (2006). International Convergence of Capital Measurement and Capital Standards (June 2006).Google Scholar
Board of Governors of the Federal Reserve System, 2011. SR 11-7: Guidance on Model Risk Management.Google Scholar
Board of Governors of the Federal Reserve System, 2013. Capital Planning at large Bank Holding Companies: Supervisory Expectations and Range of Current Practice.Google Scholar
Glowacki, Jonathan B. Effective Model Validation, Millman Insights. December 24, 2012.Google Scholar
Shaikh, P., Jacobs, M and Sharma, N. (2016). Industry Practices in Model Validation, Accenture, June 2016.Google Scholar