Validation and Use Test in AMA

Publication Date	December 2007
Publisher	Risk Books
Product Type	Book
Pages	156
ISBN Number	9781906348045
Product Code	RIS00378

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£315.00
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Summary

Written by an industry specialist, with over ten years op risk experience, this executive report serves as a working manual for operational risk professionals preparing to submit their AMA application. This essential resource will help you to ensure that your models are fully compliant. It will also prove a vital reference for auditors and regulators assessing these models.

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.

Content

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
References
Index