Understanding and Managing Model Risk - 9780470977613
Un libro in lingua di Massimo Morini edito da John Wiley & Sons Inc, 2011
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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.
Informazioni bibliografiche
- Titolo del Libro in lingua: Understanding and Managing Model Risk
- Sottotitolo: A Practical Guide for Quants, Traders and Validators
- Lingua: English
- Autore: Massimo Morini
- Editore: John Wiley & Sons Inc
- Collana: John Wiley & Sons Inc (Hardcover)
- Data di Pubblicazione: 20 Dicembre '11
- Genere: BUSINESS and ECONOMICS
- Argomenti : Risk management Risk management Mathematical models BUSINESS & ECONOMICS / Finance. bisacs
- Pagine: 428
- ISBN-10: 0470977612
- EAN-13: 9780470977613