Understanding and Managing Model Risk - A Practical Guide to Model Validation - Morini

Understanding and Managing Model Risk - A Practical Guide to Model Validation

Morini

Yayınevi: John Wiley

Yayın tarihi: 07/2011

ISBN: 9780470977613

Ciltli | İngilizce | 352 Sayfa | Büyük boy  |  168 mm x 244 mm

Tür: Finans-Bankacılık

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A guide to the validation and risk management of quantitative models used for pricing and hedging Whereas the majority of quantitative finance books focus on mathematics and risk management books focus on regulatory aspects, this book addresses the elements missed by this literature--the risks of the models themselves. This book starts from regulatory issues, but translates them into practical suggestions to reduce the likelihood of model losses, basing model risk and validation on market experience and on a wide range of real-world examples, with a high level of detail and precise operative indications.

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