Skip to main content Accessibility help

We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Close this message to accept cookies or find out how to manage your cookie settings.

Close cookie message
×
Hostname: page-component-cd9895bd7-mkpzs Total loading time: 0 Render date: 2024-12-24T13:59:13.309Z Has data issue: false hasContentIssue false

11 - Case Studies in Wholesale Risk Model Validation

Published online by Cambridge University Press:  02 March 2023

By
Debashish Sarkar
Edited by
David Lynch ,
Iftekhar Hasan  and
Akhtar Siddique
David Lynch
Affiliation:
Federal Reserve Board of Governors
Iftekhar Hasan
Affiliation:
Fordham University Graduate Schools of Business
Akhtar Siddique
Affiliation:
Office of the Comptroller of the Currency
Get access

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.

Keywords

Case studies in wholesale credit risk
Type
Chapter
Information
Validation of Risk Management Models for Financial Institutions
Theory and Practice
 , pp. 263 - 294
Publisher: Cambridge University Press
Print publication year: 2023

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

BCBS. (2005). Studies on the Validation of Internal Rating Systems, Working Paper No. 14.Google Scholar
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
BCBS, (2016). SIGBB Internal Discussion Memorandum.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
U.S. Final Rule. Federal Register/ Vol 78, No 198, Oct 2013.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

Save book to Kindle

To save this book to your Kindle, first ensure [email protected] is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about saving to your Kindle.

Note you can select to save to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be saved to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.

Find out more about the Kindle Personal Document Service.

Available formats
×

Save book to Dropbox

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Dropbox.

Available formats
×

Save book to Google Drive

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Google Drive.

Available formats
×