Understanding and managing model risk
a practical guide for quants, traders and validators
1st ed.
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Word Count
112,000 words, Guess
Page Count
448 pages
Identifiers
- Internet Archiveunderstandingman00mori
- ISBN-100470977612
- ISBN-139780470977613
- Library of Congress Control Number2011031397
- Better World Books9780470977613
and 1 more
- Open LibraryOL25329303M
Classifications
- DDC332.64/5
- LCCHD61 .U53 2011
- LCCHG106
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"--
Other Editions
- Understanding and managing model risk: a practical guide for quants, traders and validators
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