Understanding and managing model risk a practical guide for quants, traders and validators /
Morini, Massimo.
Understanding and managing model risk a practical guide for quants, traders and validators / [electronic resource] : Massimo Morini. - 1st ed. - Hoboken : Wiley, 2011. - xx, 428 p. : ill. - Wiley finance series . - Wiley finance series. .
Includes bibliographical references and index.
pt. 1. Theory and practice of model risk management -- pt. 2. Snakes in the grass : where model risk hides.
"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"--
Electronic reproduction. Ann Arbor, MI : ProQuest, 2016. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.
9781119960850 (electronic bk.) 9781119960850 (electronic bk.)
Risk management.
Risk management--Mathematical models.
Electronic books.
HD61 / .M67 2011
332.64/5
Understanding and managing model risk a practical guide for quants, traders and validators / [electronic resource] : Massimo Morini. - 1st ed. - Hoboken : Wiley, 2011. - xx, 428 p. : ill. - Wiley finance series . - Wiley finance series. .
Includes bibliographical references and index.
pt. 1. Theory and practice of model risk management -- pt. 2. Snakes in the grass : where model risk hides.
"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"--
Electronic reproduction. Ann Arbor, MI : ProQuest, 2016. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.
9781119960850 (electronic bk.) 9781119960850 (electronic bk.)
Risk management.
Risk management--Mathematical models.
Electronic books.
HD61 / .M67 2011
332.64/5