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Morini, Massimo

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, ebook

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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.

Keywords: Financial Engineering

Author(s)
Publisher
John Wiley and Sons, Inc.
Publication year
2011
Language
en
Edition
1
Page amount
352 pages
Category
Economy
Format
Ebook
eISBN (ePUB)
9780470977743
Printed ISBN
9780470977613

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