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Understanding and Managing Model Risk de Massimo Morini

Understanding and Managing Model Risk

Autor Massimo Morini
en Limba Engleză Hardback – 7 noi 2011
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.
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Specificații

ISBN-13: 9780470977613
ISBN-10: 0470977612
Pagini: 448
Ilustrații: Illustrations
Dimensiuni: 157 x 235 x 29 mm
Greutate: 0.82 kg
Editura: Wiley
Locul publicării:Chichester, United Kingdom

Public țintă

Quantitative modellers, model validators, risk managers, derivatives traders and structurers.

Notă biografică

Massimo Morini is Head of Credit Models and Coordinator of Model Research at IMI Bank of Intesa San Paolo. He has spent the last ten years inventing new models, implementing them, and helping practitioners in using them for buying, selling, and hedging derivatives. This has exposed him to the most practical side of model risk, and has led him to investigate model uncertainty, model robustness, and the management of the risk of model losses. Massimo is also Professor of Fixed Income at Bocconi University and was a Research Fellow at Cass Business School, City University London. He regularly delivers advanced training in London New York and worldwide on model risk management, credit modelling, interest rate models and correlation modelling, where he teaches cutting edge innovations in quantitative finance and discusses their implications with practitioners from the major institutions. He has led workshops on financial modelling and the financial crisis at major international conferences, including Global Derivatives, the Quant Congress, and the Fixed Income Conference. He has published papers in journals including Risk Magazine, Mathematical Finance, and the Journal of Derivatives. Massimo holds a PhD in Mathematics and an MSc in Economics.

Descriere

? Understanding and Managing Model Risk is a guide to the validation and risk management of quantitative models used for pricing and hedging.