Creating and validating risk models [28]

Go to: Summary | Previous | Next   
Bullet points include: Exposure specific inputs may include ratings, recovery means and volatilities, exposure at default, factor weights Statistical inputs may include factor correlations, term structures (more recently for multiple underlying tenors), spreads Implementation may include coding and data handling Checking all the above plus validating outputs are substantial exercises C.f. internal model documentation / approval process for Solvency II

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile