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Author Morini, Massimo.
Title Understanding and managing model risk [electronic resource] : a practical guide for quants, traders and validators / Massimo Morini.
Publication Info. Hoboken : Wiley, 2011.
Edition 1st ed.
Location Call No. Status Notes
 Libraries Electronic Books  ELECTRONIC BOOK-ebrary    AVAIL. ONLINE
Description xx, 428 p. : ill.
Series Wiley finance series
Bibliography Includes bibliographical references and index.
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.
Reproduction Electronic reproduction. Palo Alto, Calif. : ebrary, 2011. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.
Subject Risk management.
Risk management -- Mathematical models.
Added Author ebrary, Inc.
ISBN 9780470977613 (hardback)
9781119960850 (e-book)
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