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 Welcome to www.journalofriskmodelvalidation.com |
Welcome to the Journal of Risk Model Validation website, the only international refereed Journal focusing on the implementation and validation of risk models and the promotion of the greater understanding in the area of new developments in the theory and practice of risk model validation.
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Letter from the Editor-in-Chief
This issue looks at two important contemporary matters: the first of these is the
implementation issues for Basel II and the second is to do with the Summer of
2007. It has been recognized by anybody who has tried to validate an internal
ratings system for a bank that standard mathematical methods require some sort
of adaptation. There are many reasons for this. The first paper by Blochwitz
outlines a comprehensive approach of validation for the internal ratings-based
(IRB) approach in Basel II. This will be an essential read for anybody involved in
validation in this area. The second paper by van der Burgt addresses a smaller
problem within Basel II but nevertheless is one of considerable importance.
Many banks and lending institutions simply do not have sufficient default data
to build sensible measures of default probabilities based on the experiences in
their mortgage book. This paper suggests procedures that one might follow in this
situation. |
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