{"title":"Modelling\/Model Risk","description":"\u003cp\u003eProducts tagged with \"Modelling\/Model Risk\"\u003c\/p\u003e","products":[{"product_id":"http-riskbooks-com-probabilistic-graphical-models-a-new-way-of-thinking-in-financial-modelling","title":"Probabilistic Graphical Models","description":"\u003ch2\u003eOverview\u003c\/h2\u003e\r\n\u003cdiv class=\"std\"\u003e\r\n\u003cp\u003e\u003cem\u003eProbabilistic Graphical Models\u003cspan\u003e \u003c\/span\u003e\u003c\/em\u003egives an overview of PGMs (a framework encompassing techniques like bayesian networks, markov random fields and chain graphs), which incorporate forward-looking information for making financial decisions, and applies them to stress testing, asset allocation, hedging, and credit risk.\u003cbr\u003e\u003cbr\u003eThis approach describes a new way to contend with stress testing (a big component of regulations like CCAR, the AIFMD, and Solvency II), teaches the reader how to strengthen their portfolios, presents a forward-looking way of conducting tail hedging, and gives a clear picture of the credit risk of the institution in question (such as a bank or a hedge fund).\u003c\/p\u003e\r\n\u003c\/div\u003e","brand":"Risk Books","offers":[{"title":"Default Title","offer_id":50769913643350,"sku":"9781782720973","price":145.0,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0904\/4433\/3398\/files\/pgm_2d-crop-616-pixels.png?v=1751976809"},{"product_id":"interest-rate-modelling-after-the-financial-crisis","title":"Interest Rate Modelling after the Financial Crisis","description":"\u003cp\u003e\u003cspan style=\"font-size: 14px;\"\u003eTypically literature on the subject of interest rate modelling is based on the assumption of risk-free interest rate \u003c\/span\u003e\u003cspan style=\"font-size: 14px;\"\u003emarkets. Clearly this assumption no longer holds water. As a consequence of the crisis, market participants have been \u003c\/span\u003e\u003cspan style=\"font-size: 14px;\"\u003ealerted to risk factors which had previously been neglected. This knowledge has led to important changes in the \u003c\/span\u003e\u003cspan style=\"font-size: 14px;\"\u003epatterns of market data and to new approaches in interest rate modelling.\u003c\/span\u003e\u003c\/p\u003e\r\n\u003cdiv class=\"std\"\u003e\r\n\u003cp\u003eAs interest rate markets continue to innovate and expand in this new landscape, it is becoming increasingly important to remain up-to-date with the latest practical and theoretical developments. 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Insurance companies need to demonstrate that their internal model meets the use test, statistical quality standards, calibration standards, validation standards and documentation standards.\u003cbr\u003e\u003cbr\u003e\u003cem\u003eInternal Models and Solvency II \u003c\/em\u003eis the first authoritative reference book on Solvency II internal models for practitioners and regulators, providing practical insight into these models and their frameworks.\u003cbr\u003e\u003cbr\u003e\u003cbr\u003e\u003cem\u003e“Each chapter has been written by experts in the topic, individuals with hands-on experience of designing, validating, reviewing and using models. 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The second part focuses on the measurement of capital. The book is essential for all who witnessed the devastating effects of the crisis, due fundamentally to undercapitalisation.\u003c\/p\u003e\r\n\u003cp\u003e\u003cem\u003e\"...covers all key features of the post-crisis regulatory and risk-management scenario...\"\u003c\/em\u003e\u003c\/p\u003e\r\n\u003cp\u003e\u003cem\u003eAndrea Resti,\u003c\/em\u003e Bocconi University\u003c\/p\u003e\r\n\u003cp\u003e\u003cem\u003e\"...The book comes out at an opportune moment to refocus our attention to the basic concepts of economic and regulatory capital.\"\u003c\/em\u003e\u003c\/p\u003e\r\n\u003cp\u003e\u003cem\u003eAshish Dev\u003c\/em\u003e, Managing Director, JP Morgan Chase\u003c\/p\u003e\r\n\u003c\/div\u003e","brand":"Risk Books","offers":[{"title":"Default Title","offer_id":50769957421398,"sku":"9781906348458","price":145.0,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0904\/4433\/3398\/files\/managing-interest-rate-risk-2d-crop-616-pixels.png?v=1751977343"},{"product_id":"managing-illiquid-assets-perspectives-and-challenges-1","title":"Managing Illiquid Assets","description":"\u003cp\u003eIlliquid assets constitute a challenging asset class with regards to their valuations and ongoing management. 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Yet interpreting the findings, understanding the limitations of the models and recognising the assumptions that underpin them can present considerable challenges for all except those with specialised quantitative financial-modelling backgrounds.\u003c\/p\u003e\r\n\u003cp\u003eOn the technological side, machine learning is challenging model validation, and on the regulatory side, there is an increasing interest in model-risk quantification. \u003cstrong\u003e\u003cem\u003eRisk Model Validation (3rd edition)\u003c\/em\u003e\u003c\/strong\u003e provides a comprehensive framework with practical examples that guides the reader towards the implementation of a tailor-made validation framework.\u003c\/p\u003e\r\n\u003cp\u003eThe authors lead the reader through the process of risk modelling, demonstrating how to interpret their findings, how to understand the limitations of risk models, and how to identify and challenge the assumptions that reinforce them.\u003c\/p\u003e\r\n\u003cp\u003eReaders will be able to:\u003c\/p\u003e\r\n\u003cul\u003e\r\n\u003cli\u003eEvaluate the validity of a model;\u003c\/li\u003e\r\n\u003cli\u003eJudge the model’s quality, consistency and regulatory compliance;\u003c\/li\u003e\r\n\u003cli\u003eEstablish or improve a framework for validation;\u003c\/li\u003e\r\n\u003cli\u003eSee how machine learning can support model development and validation; and\u003c\/li\u003e\r\n\u003cli\u003eTailor a model-risk approach for their institution.\u003c\/li\u003e\r\n\u003c\/ul\u003e\r\n\u003cp\u003e\u003cstrong\u003e\u003cem\u003eRisk Model Validation (3rd edition)\u003c\/em\u003e\u003c\/strong\u003e provides financial institutions with a toolbox to raise the key questions when it comes to integrating the results of quantitative risk models into business decisions.\u003c\/p\u003e","brand":"Risk Books","offers":[{"title":"Default Title","offer_id":51232492126550,"sku":"9781782724346","price":145.0,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0904\/4433\/3398\/files\/rmv-edition3-2d-616pixels.png?v=1751977936"},{"product_id":"risk-capital-value-base-management","title":"Risk, Capital \u0026 Value-Based Management","description":"\u003cstyle\u003e#html-body [data-pb-style=GV1G1MS]{justify-content:flex-start;display:flex;flex-direction:column;background-position:left top;background-size:cover;background-repeat:no-repeat;background-attachment:scroll}\u003c\/style\u003e\u003cdiv data-content-type=\"row\" data-appearance=\"contained\" data-element=\"main\"\u003e\u003cdiv data-enable-parallax=\"0\" data-parallax-speed=\"0.5\" data-background-images=\"{}\" data-background-type=\"image\" data-video-loop=\"true\" data-video-play-only-visible=\"true\" data-video-lazy-load=\"true\" data-video-fallback-src=\"\" data-element=\"inner\" data-pb-style=\"GV1G1MS\"\u003e\n\u003cdiv data-content-type=\"text\" data-appearance=\"default\" data-element=\"main\"\u003e\n\u003cp\u003eThis comprehensive reference, Risk, Capital and Value-based Management, written by industry veteran Guoqiang Li is the result of years of the author's writing, decades of work, dozens of initiatives implemented, and lessons learned. \u003c\/p\u003e\r\n\u003cp\u003eTeeming with many real-life examples and case studies this book will help readers develop their own specific and actionable plans to improve their organisation’s risk and capital management practices while offering readers ideas about how to avoid risk-management pitfalls suffered by other organisations.  \u003c\/p\u003e\r\n\u003cp\u003eWritten by a practitioner for practitioners, Li lays out for the reader novel approaches to the mature yet continuously evolving topic of risk management within financial services, with a specific focus on the insurance industry.\u003c\/p\u003e\r\n\u003cp\u003eOne new approach Li takes in this book is to integrate risk management, capital management, and value-based management, which are often treated as separate topics. Value-based management is a philosophy popular with bank and insurance company senior management teams. Within the value-based management framework, risk management and capital management are two foundational pillars, as value creation is driven by risk, profitability, and growth. \u003c\/p\u003e\r\n\u003cp\u003eThe second new angle is the integration, comparison, and contrast of internal considerations with external stakeholders’ expectations and requirements. 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