Understanding and Managing Model Risk - A Practical Guide for Quants, Traders and Validators

Name: Understanding and Managing Model Risk - A Practical Guide for Quants, Traders and Validators
Brand: John Wiley & Sons Inc
SKU: 9780470977613
Price: 80.06 EUR
Availability: InStock

Autor: Massimo Morini

Jazyk:

Väzba: Pevná

Vydavateľ: John Wiley & Sons Inc

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80.06 €

Understanding and Managing Model Risk is a guide to the validation and risk management of quantitati...

Informácie o knihe

Autor

Massimo Morini

Jazyk

Angličtina

Väzba

Kniha - Pevná

Vydalo

2011

Stránok

448

EAN

9780470977613

ISBN

0470977612

Enbook ID

01389184

Vydavateľ

John Wiley & Sons Inc

Hmotnosť

896

Rozmery

175 x 249 x 31

Kompletný popis

Understanding and Managing Model Risk is a guide to the validation and risk management of quantitative models used for pricing and hedging. Whereas the majority of quantitative finance literature focuses on mathematics and numerical implementation, and conversely, books about risk management focus on the regulatory and bureaucratic aspects and lack in quantitative details, this book will address 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. The book will offer a deep understanding of the financial implications of mathematical models for regulators, senior management in financial institutions, traders and other practitioners. Even more importantly, the book provides quants, risk managers and validators with tools for displaying effectively the reasons for choosing a model and rejecting another one, and for identifying and explaining the model risk inherent to areas where judgment is unavoidable and models must not be used to create a false sense of confidence or as a shield for building dangerous exposures. This analysis and this explanation failed before the recent crisis, and the consequences have been hard.

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Understanding and Managing Model Risk - A Practical Guide for Quants, Traders and Validators

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