Validation is an essential part of modelling risk management at financial institutions. This book provides the first unified framework for validating risk management models. It covers all of the major risk areas, including market risk, interest rate risk, retail credit risk, wholesale credit risk, compliance risk, and investment management.
"This book is about the purpose of model validation which is to identify and communicate strengths and weaknesses of a given quantitative approach, and to determine whether the model is appropriate for its intended and actual use"--
