Morini, Massimo. creator text bibliography Electronic books. enk Chichester, West Sussex Wiley 2011 monographic eng

electronic resource

1 online resource (xx, 428 pages) : illustrations. "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"-- Cover; Series; Title Page; Copyright; Preface; HOW WE PROCEED; WHAT ELSE YOU WILL FIND IN THIS BOOK; Acknowledgements; Part I: Theory and Practice of Model Risk Management; 1: Understanding Model Risk; 1.1 WHAT IS MODEL RISK?; 1.2 FOUNDATIONS OF MODELLING AND THE REALITY OF MARKETS; 1.3 ACCOUNTING FOR MODELLERS; 1.4 WHAT REGULATORS SAID AFTER THE CRISIS; 1.5 MODEL VALIDATION AND RISK MANAGEMENT: PRACTICAL STEPS; 2: Model Validation and Model Comparison: Case Studies; 2.1 THE PRACTICAL STEPS OF MODEL COMPARISON; 2.2 FIRST EXAMPLE: THE MODELS. Massimo Morini. Includes bibliographical references and index. Risk management Risk management Mathematical models Risk management Risk management Mathematical models BUSINESS & ECONOMICS Finance BUSINESS & ECONOMICS Investments & Securities General Risk management Risk management Mathematical models HD61 .M67 2011eb 332.64/5 Morini, Massimo. Chichester, West Sussex : Wiley, 2011 (DLC) 2011031397 (OCoLC)721932550 9781119960850 1119960851 9781118467312 1118467310 10.1002/9781118467312 Wiley InterScience http://onlinelibrary.wiley.com/book/10.1002/9781118467312 http://onlinelibrary.wiley.com/book/10.1002/9781118467312 N$T 111024 20171116095032.0 ocn758387064 eng