Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators (The Wiley Finance Series)
Massimo Morini
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Description for Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators (The Wiley Finance Series)
Hardcover. ? Understanding and Managing Model Risk is a guide to the validation and risk management of quantitative models used for pricing and hedging. Series: Wiley Finance Series. Num Pages: 448 pages, Illustrations. BIC Classification: KFF; PBT; PBWH. Category: (P) Professional & Vocational. Dimension: 249 x 175 x 31. Weight in Grams: 900.
A guide to the validation and risk management of quantitative models used for pricing and hedging
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.
Product Details
Format
Hardback
Publication date
2011
Publisher
Wiley
Number of pages
448
Condition
New
Series
Wiley Finance Series
Number of Pages
448
Place of Publication
New York, United States
ISBN
9780470977613
SKU
V9780470977613
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-50
About Massimo Morini
Massimo Morini is Head of Credit Models and Coordinator of Model Research at IMI Bank of Intesa San Paolo. He has spent the last ten years inventing new models, implementing them, and helping practitioners in using them for buying, selling, and hedging derivatives. This has exposed him to the most practical side of model risk, and has led him to ... Read more
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