UNDERSTANDING AND MANAGING MODEL RISK by Massimo Morini ( 9780470977613 )

Item Details

Title:

UNDERSTANDING AND MANAGING MODEL RISK
A PRACTICAL GUIDE FOR QUANTS, TRADERS AND VALIDATORS

By:

Massimo Morini

Format:

Hardback

List price:

£67.00

Our price:

£60.30

Discount:

10% off

You save:

£6.70

ISBN 10:

0470977612

ISBN 13:

9780470977613

Availability:

Usually dispatched within 1-3 weeks.

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Stock:

Currently 0 available

Publisher:

JOHN WILEY AND SONS LTD

Pub. date:

11 October, 2011

Series:

Wiley Finance Series

Pages:

448

Description:

? Understanding and Managing Model Risk is a guide to the validation and risk management of quantitative models used for pricing and hedging.

Synopsis:

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.

Illustrations:

Illustrations

Publication:

Imprint:

John Wiley & Sons Ltd

Returns:

Returnable

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