Understanding and Managing Model Risk

Beschreibung

A guide to the validation and risk management of quantitativemodels used for pricing and hedging Whereas the majority of quantitative finance books focus onmathematics and risk management books focus on regulatory aspects,this book addresses the elements missed by this literature--therisks of the models themselves. This book starts from regulatoryissues, but translates them into practical suggestions to reducethe likelihood of model losses, basing model risk and validation onmarket experience and on a wide range of real-world examples, witha high level of detail and precise operative indications.

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Massimo Morini

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Finance & Investments Financial Engineering Finanz- u. Anlagewesen Finanztechnik

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