Búsqueda

Model behaviour

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20200024156</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20200717150049.0</controlfield>
    <controlfield tag="008">200717e20200701gbr|||p      |0|||b|eng d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">7</subfield>
    </datafield>
    <datafield tag="100" ind1=" " ind2=" ">
      <subfield code="0">MAPA20200016335</subfield>
      <subfield code="a">Forrest, Alan </subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">Model behaviour</subfield>
      <subfield code="c">Alan Forrest</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">At the bank where I work, I manage the risk of an important high exposure portfolio, but it is not a portfolio of loans or insurances, nor a trading book or pension fund. My portfolio is something completely different  but it is clearly a portfolio, an inventory of equally managed entities with a stochastic loss profile and correlated interactions. I am not a front office quant, nor a fund director; I am not even an actuary. I am in fact the head of the Model Risk Oversight team, and the portfolio I am talking about is a portfolio of models.</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080538217</subfield>
      <subfield code="a">Banca</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080591182</subfield>
      <subfield code="a">Gerencia de riesgos</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080586461</subfield>
      <subfield code="a">Modelos de gestión</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080582418</subfield>
      <subfield code="a">Riesgo financiero</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20200013259</subfield>
      <subfield code="t">The Actuary : the magazine of the Institute & Faculty of Actuaries</subfield>
      <subfield code="d">London :  Redactive Publishing, 2019-</subfield>
      <subfield code="g">01/07/2020 Número 6 - julio 2020 , p. 18-19</subfield>
    </datafield>
  </record>
</collection>