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eBook details

Title: Understanding and Managing Model Risk
Author : Massimo Morini
Release Date : January 20, 2011
Genre: Finance,Books,Business & Personal Finance,
Pages : * pages
Size : 10162 KB

Description

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.