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_a10.1002/9781118467312 _bWiley InterScience _nhttp://www3.interscience.wiley.com |
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_a332.64/5 _223 |
| 049 | _aMAIN | ||
| 100 | 1 | _aMorini, Massimo. | |
| 245 | 1 | 0 |
_aUnderstanding and managing model risk : _ba practical guide for quants, traders and validators / _cMassimo Morini. |
| 260 |
_aChichester, West Sussex : _bWiley, _c2011. |
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| 300 |
_a1 online resource (xx, 428 pages) : _billustrations. |
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| 336 |
_atext _btxt _2rdacontent |
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| 337 |
_acomputer _bc _2rdamedia |
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| 338 |
_aonline resource _bcr _2rdacarrier |
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| 490 | 1 | _aWiley finance series | |
| 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"-- _cProvided by publisher. |
||
| 520 |
_a"Understanding and Managing Model Risk is a guide to the validation and risk management of quantitative models used for pricing and hedging"-- _cProvided by publisher. |
||
| 504 | _aIncludes bibliographical references and index. | ||
| 588 | 0 | _aPrint version record. | |
| 505 | 0 | _aCover; 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. | |
| 650 | 0 | _aRisk management. | |
| 650 | 0 |
_aRisk management _xMathematical models. |
|
| 650 | 4 | _aRisk management. | |
| 650 | 4 |
_aRisk management _xMathematical models. |
|
| 650 | 7 |
_aBUSINESS & ECONOMICS _xFinance. _2bisacsh |
|
| 650 | 7 |
_aBUSINESS & ECONOMICS _xInvestments & Securities _xGeneral. _2bisacsh |
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| 650 | 7 |
_aRisk management. _2fast _0(OCoLC)fst01098164 |
|
| 650 | 7 |
_aRisk management _xMathematical models. _2fast _0(OCoLC)fst01098179 |
|
| 655 | 4 | _aElectronic books. | |
| 776 | 0 | 8 |
_iPrint version: _aMorini, Massimo. _tUnderstanding and managing model risk. _dChichester, West Sussex : Wiley, 2011 _z9780470977613 _w(DLC) 2011031397 _w(OCoLC)721932550 |
| 830 | 0 | _aWiley finance series. | |
| 856 | 4 | 0 |
_uhttp://onlinelibrary.wiley.com/book/10.1002/9781118467312 _zWiley Online Library [Free Download only for SUST IP] |
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