Understanding and managing model risk
Subtitle: a practical guide for quants, traders and validators
By: [edited by] Massimo Morini
Edition: 1st ed.
Series: Wiley finance series
Publisher: Wiley
Published: 2011
Place of publication: Hoboken
Language: eng
Number of pages: 448
ISBN-13: 9780470977613
Subjects: BUSINESS & ECONOMICS / Finance; Mathematical models; Risk management
Description: "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"--

"Understanding and Managing Model Risk is a guide to the validation and risk management of quantitative models used for pricing and hedging"--
Notes: Includes bibliographical references and index.