Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators (Wiley Finance, #611)

by Massimo Morini

0 ratings • 0 reviews • 0 shelved
Book cover for Understanding and Managing Model Risk
Shelve It

Bookhype may earn a small commission from qualifying purchases. Full disclosure.

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.

  • ISBN13 9780470977750
  • Publish Date 20 October 2011 (first published 1 January 2011)
  • Publish Status Active
  • Publish Country US
  • Imprint John Wiley & Sons Inc