Understanding and managing model risk : a practical guide for quants, traders and validators / / Massimo Morini.
"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 risk...
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| Superior document: | Wiley finance series |
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| Year of Publication: | 2011 |
| Edition: | 1st ed. |
| Language: | English |
| Series: | Wiley finance series.
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| Online Access: | |
| Physical Description: | xx, 428 p. :; ill. |
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| Summary: | "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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| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9780470977613 (hardback) 9780470977613 9781119960850 (electronic bk.) |
| Hierarchical level: | Monograph |
| Statement of Responsibility: | Massimo Morini. |