Validation & use test in AMA : a road map to successful implementation
著者
書誌事項
Validation & use test in AMA : a road map to successful implementation
（Risk executive report）
Risk Books, c2007
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注記
Includes bibliographical references (p. 135-137) and index
内容説明・目次
内容説明
As the deadline for implementation approaches, mastering validation is no longer an option, but a must. This new executive report guides you through all the key steps required to validate an AMA approach, with the main objective of obtaining regulatory approval. With analysis and examples of the current methodology and regulation, this best practice guide allows you to benchmark your methods. Furthermore, it provides you with the tools and techniques needed to: - Clearly document your validation process - Explain and justify your modeling choices - Assess the strengths and weaknesses of your models - Anticipate any issues auditors might raise. It concludes with a detailed discussion of the role of the user test, demonstrating how the measurement model is integrated into day-to-day risk management.
目次
Preface 1. An Introduction to Model Validation 1.1. Definitions 1.2. Validation policy 1.3. Key components of validation 1.4. Validation of AMA models 2. Risk Measurement Process 2.1. Input validation 2.2. Model validation Appendix A - An input-output model for operational interdependence in a complex organisation. Appendix B - Discrete and continuous probability distributions 3. The AMA Validation Process 3.1. The AMA model 3.2. The validation policy 3.3. The validation report 3.4. Conclusions 4. The User Test 4.1. Not just a compliance exercise 4.2. Maintenance and evolution 4.3. AMA and the management of operational risk 4.4. AMA and the management of the bank: is it adding value? Appendix A - Specimen of model documentation for model validation 5. Conclusions Appendix: An AMA Validation Checklist References Index
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