1. Introductory Material 1.1 Why Are We Writing This Book? 1.2 Computer Code 1.3 Note on Technical Terms, Jargon, Abbreviations, and Notation 1.4 What Is Not in This Book 1.5 To the Instructor 2. Model Basics 2.
1 History of MRM 2.2 What Is a Model? 2.3 What Is Model Risk? 2.4 What is MVal? 2.5 Impact of MVal 2.6 Validation Use Cases 3. Standards 3.1 Independence 3.
2 Effective Challenge 3.3 Benchmarking 3.4 Testing 3.5 Vendors 4. Techniques 4.1 New Model Registration 4.2 Classification and Risk Rating 4.3 Replication 4.
4 Benchmarking 4.5 Documentation 4.6 Model Governance Preview 4.7 Other Validation Testing Techniques 4.8 Postvalidation Testing, Also Called "Ongoing Monitoring" 4.9 Toolkits 4.10 Job Functions and Lines of Defense 4.11 Diplomacy and Communication 4.
12 Role of Consultants 4.12 ExampleValidation of Black-Scholes 5. Marked-to-Market Asset Classes 5.1 Introduction 5.2 Fixed Income 5.3 Equity 5.4 FX 5.5 Commodities 6.
Marked-to-Model Asset Classes 6.1 Bonds 6.2 Exotics 6.3 Structured Credit and Securitizations 6.4 Equity Exotics 6.5 Other Asset Classes 7. Market Risk I: Statistical Measures 7.1 Value-at-Risk 7.
2 VaR Decomposition 7.3 Validating VaR Assumptions 7.4 Validating VaR Inputs 7.5 VaR Backtesting 7.6 Expected Shortfall 7.7 Curing Problematic Timeseries: EWMA 8. Market Risk II: Stress Testing 8.1 Introduction 8.
2 Details of CCAR Scenarios 8.3 CCAR Models 8.4 Building Stress Scenarios and Applying the Stresses to the Bank''s Positions 8.5 Internal Stress Tests 9. Issuer Credit Risk 9.1 Introduction 9.2 Philosophy of Credit Ratings 9.3 PD, LGD, and EAD 9.
4 Credit Ratings in Practice 9.5 Scorecard Models 10. Counterparty Credit Risk 10.1 Valuation Adjustments 10.2 Wrong Way Risk (WWR) 10.3 Potential Future Exposure (PFE) Basics 10.4 PFE Advanced Modeling Approach (AMA) 10.5 SIMM: The Standard Initial Margin Model 11.
Correlation Credit Risk 11.1 Single-Name Credit Products 11.2 Simple Correlation Products 11.3 Tranched Correlation Products 11.4 Correlation Credit and the Great Financial Crisis 12. Portfolio Risk 12.1 Equity Performance 12.2 Statistical Arbitrage 12.
3 Hedge Fund Basics 12.4 Proprietary Hedge Fund Equity Models 13. Operational Risk 13.1 The Basel OR Event Types 13.2 ORX Nonfinancial Risk Levels 13.3 Standard Approach to OR Capital 13.4 Advanced Approach: OR Models 13.5 Key Risk Indicators 13.
6 OR Stress Testing 14. Capital Model Risk 14.1 Regulatory Capital 14.2 History of U.S. Bank Capital 14.3 Basel Ratios and Buffers 14.4 SIFI Tests 14.
5 Economic Capital 15. Artificial Intelligence Risk 15.1 Validating Pricing and Risk AI Models 15.2 MRM Assisted by AI 15.3 AI Explainability 15.4 Essentials of AI MRM 15.5 AI Use By Central Banks 15.6 AI Standards 16.
Miscellaneous Topics in Model Risk 16.1 Transition From IBORs to RFRs: SOFR 16.2 Regulatory Risk 16.3 Anti--Money Laundering/Sanctions Models 16.4 Fraud Detection Models 16.5 Model Validation at Insurance Firms 16.6 The Greeks (Sensitivities) 16.7 Monte Carlo Simulations 16.
8 Mortgage Model Risk 16.9 Validation of Qualitative Models 17. Model Governance Prologue 17.1 Introduction 17.2 Model Inventory 17.3 Model Restrictions 17.4 Internal Audit 17.5 Policies and Procedures 17.
6 Role of Regulators 17.7 Personnel 17.8 Model Governance in Practice Appendix A: Homework Problems Appendix B: Global MRM Regulation Appendix C: Statistics Refresher Appendix D: Online Content Bibliography Index.