Understanding and managing model risk: a practical guide for quants, traders and validators / Massimo Morini.
2011
HD61 .M67 2011
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Details
Title
Understanding and managing model risk: a practical guide for quants, traders and validators / Massimo Morini.
Author
Morini, Massimo.
Edition
1st ed.
ISBN
9780470977613 (hardback)
9780470977613
9781119960850 (electronic bk.)
9781119960850 (electronic bk.)
9780470977613
9781119960850 (electronic bk.)
9781119960850 (electronic bk.)
Publication Details
Hoboken : Wiley, 2011.
Language
English
Description
xx, 428 p. : ill.
Call Number
HD61 .M67 2011
Dewey Decimal Classification
332.64/5
Summary
"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"-- Provided by publisher.
Bibliography, etc. Note
Includes bibliographical references and index.
Access Note
Access limited to authorized users.
Series
Wiley finance series.
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Online Access
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Table of Contents
pt. 1. Theory and practice of model risk management
pt. 2. Snakes in the grass : where model risk hides.
pt. 2. Snakes in the grass : where model risk hides.