Understanding and managing model risk : a practical guide for quants, traders and validators /

"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...

Descripción completa

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Morini, Massimo
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Chichester, West Sussex : Wiley, 2011.
Temas:
Risk management.
Risk management > Mathematical models.
Gestion du risque.
Gestion du risque > Modèles mathématiques.
risk management.
BUSINESS & ECONOMICS > Finance.
BUSINESS & ECONOMICS > Investments & Securities > General.
Risk management
Risk management > Mathematical models
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Cover; Series; Title Page; Copyright; Preface; HOW WE PROCEED; WHAT ELSE YOU WILL FIND IN THIS BOOK; Acknowledgements; Part I: Theory and Practice of Model Risk Management; 1: Understanding Model Risk; 1.1 WHAT IS MODEL RISK?; 1.2 FOUNDATIONS OF MODELLING AND THE REALITY OF MARKETS; 1.3 ACCOUNTING FOR MODELLERS; 1.4 WHAT REGULATORS SAID AFTER THE CRISIS; 1.5 MODEL VALIDATION AND RISK MANAGEMENT: PRACTICAL STEPS; 2: Model Validation and Model Comparison: Case Studies; 2.1 THE PRACTICAL STEPS OF MODEL COMPARISON; 2.2 FIRST EXAMPLE: THE MODELS.

Ejemplares similares