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

Contributor(s): Material type: TextSeries: Wiley finance seriesPublication details: Hoboken : Wiley, 2011.Edition: 1st edDescription: xx, 428 p. : ill. ; 25 cmISBN:
  • 9780470977613 (hardback)
Subject(s): DDC classification:
  • 332.645 23
LOC classification:
  • HD61 .U53 2011
Other classification:
  • BUS027000
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"--Summary: "Understanding and Managing Model Risk is a guide to the validation and risk management of quantitative models used for pricing and hedging"--
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Cover image Item type Current library Home library Collection Shelving location Call number Materials specified Vol info URL Copy number Status Notes Date due Barcode Item holds Item hold queue priority Course reserves
Books Headquarters Lending Library General Collection Non Fiction 332.645 UND (Browse shelf(Opens below)) Available 0096066

Includes bibliographical references and index.

"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"--

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