The Validation of Risk Models

Sergio Scandizzo is the Head of Model Validation at the European Investment Bank (EIB) in Luxembourg. He is the author of Risk and Governance: A Framework for Banking Organisations; The Operational Risk Manager's Guide, now in its second edition, and of Validation and Use Test in AMA. He is Associate Editor of The Journal of Operational Risk and has published several journal papers on fuzzy logic, genetic algorithms and risk management.

Introduction: A Model Risk Primer
PART I: A FRAMEWORK FOR RISK MODEL VALIDATION
1. Validation, governance and supervision
2. A validation framework for risk models
PART II: CREDIT RISK
3. Credit risk models
4. Probability of default models
5. Loss Given Default models
6. Exposure at Default models
PART III: MARKET RISK
7. Value at risk models
8. Interest rate risk on the banking book
PART IV: COUNTERPARTY CREDIT RISK
9. Counterparty Credit Risk Models
PART V: OPERATIONAL RISK
10. The validation of AMA models
11. Use test for operational risk
PART VI: PILLAR 2 MODELS
12. Economic capital models
13. Stress testing models
14. Conclusion