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Understanding and managing model risk [electronic resource] : a practical guide for quants, traders and validators / Massimo Morini.

By:

Morini, Massimo

Contributor(s):

ebrary, Inc

Series: Wiley finance seriesPublication details: Hoboken : Wiley, 2011.Edition: 1st edDescription: xx, 428 p. : illSubject(s):

Genre/Form:

Electronic books.

DDC classification:

332.64/5 23

LOC classification:

HD61 .M67 2011eb

Online resources:

An electronic book accessible through the World Wide Web; click to view

Contents:

pt. 1. Theory and practice of model risk management -- pt. 2. Snakes in the grass : where model risk hides.

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.

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Holdings
Item type	Current library	Call number	URL	Status	Date due	Barcode	Item holds
E-Book	Strathmore University (Main Library) Online Resource		Link to resource	Not for loan

Total holds: 0

Includes bibliographical references and index.

pt. 1. Theory and practice of model risk management -- pt. 2. Snakes in the grass : where model risk hides.

"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.

Electronic reproduction. Palo Alto, Calif. : ebrary, 2013. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.

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