We develop a comprehensive model management approach for general risk models building on the fundamentals of cybernetic management processes. This process is consistently applied to the model-life-cycle of prototypical risk models in the field of credit and market risk. We elaborate in detail on the construction, calibration, and validation of these models.
- Risk modelling- Model risk- Risk model management (RMM)- RMM of univariate credit risk models- RMM of market risk portfolio models- RMM of credit risk portfolio models
- Classroom exams- Group homework assignments
