Model Risk and the Control of Eigenmodels by the Supervisors

Dimitris N. Chorafas

Chapter 10 in New Regulation of the Financial Industry, 2000, pp 158-172 from Palgrave Macmillan

Abstract: Abstract Following the 1996 Market Risk Amendment by the Basle Committee on Banking Supervision, and the adoption of VAR as a measurement of market exposure, the examination, control and approval of financial reporting based on internal bank models (eigenmodels) has become a core activity of supervisors. This task is increasingly demanding owing to the evolving complexity of financial models, and the need to judge the assumptions employed in eigenmodels and the way these are used.

Keywords: Central Bank; Model Risk; Credit Risk; Commercial Bank; Market Risk (search for similar items in EconPapers)
Date: 2000
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-333-97743-9_10

Ordering information: This item can be ordered from
http://www.palgrave.com/9780333977439

DOI: 10.1057/9780333977439_10

Access Statistics for this chapter

More chapters in Palgrave Macmillan Books from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().