Understanding and managing model risk a practical guide for quants, traders and validators / Massimo Morini.
"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 risk...
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| Online Access: |
Access E-Book |
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| Access Note: | Access to electronic resources restricted to Simmons University students, faculty and staff. |
| Main Author: | |
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
Hoboken :
Wiley,
2011.
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| Edition: | 1st ed. |
| Series: | Wiley finance series.
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| Subjects: |
| 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"-- |
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| Physical Description: | xx, 428 p. : ill. |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9781119960850 |
| Access: | Access to electronic resources restricted to Simmons University students, faculty and staff. |