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...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Chichester, West Sussex, UK
Wiley
2011
|
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | UBG01 Volltext Buchcover |
| Zusammenfassung: | "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"-- |
| Beschreibung: | Includes bibliographical references and index 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 |
| Beschreibung: | 1 Online-Ressource (xx, 428 S.) Ill. |
| ISBN: | 9781119960850 1119960851 9781118467312 1118467310 |
Internformat
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| 490 | 0 | |a Wiley finance series | |
| 500 | |a Includes bibliographical references and index | ||
| 500 | |a 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 | ||
| 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"-- "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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| 650 | 4 | |a Mathematisches Modell | |
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Datensatz im Suchindex
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| any_adam_object | 1 |
| author | Morini, Massimo |
| author_facet | Morini, Massimo |
| author_role | aut |
| author_sort | Morini, Massimo |
| author_variant | m m mm |
| building | Verbundindex |
| bvnumber | BV040591830 |
| collection | ZDB-35-WCE ZDB-35-WIC |
| ctrlnum | (OCoLC)758387064 (DE-599)BVBBV040591830 |
| dewey-full | 332.64/5 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/5 |
| dewey-search | 332.64/5 |
| dewey-sort | 3332.64 15 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| illustrated | Illustrated |
| indexdate | 2024-07-10T00:26:50Z |
| institution | BVB |
| isbn | 9781119960850 1119960851 9781118467312 1118467310 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025419750 |
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| physical | 1 Online-Ressource (xx, 428 S.) Ill. |
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| publisher | Wiley |
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| spelling | Morini, Massimo Verfasser aut Understanding and managing model risk a practical guide for quants, traders and validators Massimo Morini Chichester, West Sussex, UK Wiley 2011 1 Online-Ressource (xx, 428 S.) Ill. txt rdacontent c rdamedia cr rdacarrier Wiley finance series Includes bibliographical references and index 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 "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"-- BUSINESS & ECONOMICS / Finance bisacsh BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Mathematisches Modell Wirtschaft Risk management Risk management / Mathematical models Risikomanagement (DE-588)4121590-4 gnd rswk-swf Risikomanagement (DE-588)4121590-4 s DE-604 https://onlinelibrary.wiley.com/doi/book/10.1002/9781118467312 Verlag Volltext SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025419750&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Buchcover |
| spellingShingle | Morini, Massimo Understanding and managing model risk a practical guide for quants, traders and validators BUSINESS & ECONOMICS / Finance bisacsh BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Mathematisches Modell Wirtschaft Risk management Risk management / Mathematical models Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4121590-4 |
| title | Understanding and managing model risk a practical guide for quants, traders and validators |
| title_auth | Understanding and managing model risk a practical guide for quants, traders and validators |
| title_exact_search | Understanding and managing model risk a practical guide for quants, traders and validators |
| title_full | Understanding and managing model risk a practical guide for quants, traders and validators Massimo Morini |
| title_fullStr | Understanding and managing model risk a practical guide for quants, traders and validators Massimo Morini |
| title_full_unstemmed | Understanding and managing model risk a practical guide for quants, traders and validators Massimo Morini |
| title_short | Understanding and managing model risk |
| title_sort | understanding and managing model risk a practical guide for quants traders and validators |
| title_sub | a practical guide for quants, traders and validators |
| topic | BUSINESS & ECONOMICS / Finance bisacsh BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Mathematisches Modell Wirtschaft Risk management Risk management / Mathematical models Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | BUSINESS & ECONOMICS / Finance BUSINESS & ECONOMICS / Investments & Securities / General Mathematisches Modell Wirtschaft Risk management Risk management / Mathematical models Risikomanagement |
| url | https://onlinelibrary.wiley.com/doi/book/10.1002/9781118467312 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025419750&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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