Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators

Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators

Author(s): Massimo Morini

Published Online: 23 MAY 2012 11:02AM EST

Print ISBN: 9780470977613

Online ISBN: 9781118467312

DOI: 10.1002/9781118467312

About this Book

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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