The Validation of Risk Models - A Handbook for Practitioners

"With encyclopedic knowledge, Sergio takes risk model validation beyond compliance, and places it at the heart of managing a financial institution".
Federico Galizia, Chief Risk Officer, Inter-American Development Bank

"A book that sheds a required and well-timed light on the perpetual debate, inside any organisation, between risk validation of model, models for risk validation and model risk.  The tools and techniques proposed are valid not only for practitioners working within regulated entities but for all the risk managers in search of a guide into the model validation’s definition and best practices".

Cosimo Pacciani, Chief Risk Officer, European Stability Mechanism

"This book is a very useful reference for professionals and ought to be a core text book for every professional in charge of risk models or their validation. It is well written and explains the nature of model risks in finance, introduces a framework for risk model validation and provides further illustrations for specific type of risks and risk measurement approaches. A distinctive feature of this book is its focus on practical challenges most practitioners may have already come across together with a sound reference to finance theory. There is no book I am aware of that covers risk model validation in that practical and comprehensive manner".

Sven Muehlenbrock, Partner, Head of Risk Advisory, KPMG Luxembourg