Understanding and managing model risk a practical guide for quants, traders and validators /
"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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| Main Author: | |
|---|---|
| Corporate Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Hoboken :
Wiley,
2011.
|
| Edition: | 1st ed. |
| Series: | Wiley finance series.
|
| Subjects: | |
| Online Access: | An electronic book accessible through the World Wide Web; click to view |
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| 010 | |z 2011031397 | ||
| 020 | |z 9780470977613 (hardback) | ||
| 020 | |z 9781119960850 (e-book) | ||
| 035 | |a (CaPaEBR)ebr10500923 | ||
| 035 | |a (OCoLC)758387064 | ||
| 040 | |a CaPaEBR |c CaPaEBR | ||
| 050 | 1 | 4 | |a HD61 |b .M67 2011eb |
| 082 | 0 | 4 | |a 332.64/5 |2 23 |
| 100 | 1 | |a Morini, Massimo. | |
| 245 | 1 | 0 | |a Understanding and managing model risk |h [electronic resource] : |b a practical guide for quants, traders and validators / |c Massimo Morini. |
| 250 | |a 1st ed. | ||
| 260 | |a Hoboken : |b Wiley, |c 2011. | ||
| 300 | |a xx, 428 p. : |b ill. | ||
| 490 | 1 | |a Wiley finance series | |
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a pt. 1. Theory and practice of model risk management -- pt. 2. Snakes in the grass : where model risk hides. | |
| 520 | |a "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"-- |c Provided by publisher. | ||
| 533 | |a Electronic reproduction. |b Palo Alto, Calif. : |c ebrary, |d 2015. |n Available via World Wide Web. |n Access may be limited to ebrary affiliated libraries. | ||
| 650 | 0 | |a Risk management. | |
| 650 | 0 | |a Risk management |x Mathematical models. | |
| 655 | 7 | |a Electronic books. |2 local | |
| 710 | 2 | |a ebrary, Inc. | |
| 830 | 0 | |a Wiley finance series. | |
| 856 | 4 | 0 | |u http://site.ebrary.com/lib/daystar/Doc?id=10500923 |z An electronic book accessible through the World Wide Web; click to view |
| 908 | |a 170314 | ||
| 942 | 0 | 0 | |c EB |
| 999 | |c 129450 |d 129450 | ||