Hardcover. Condizione: new. Hardcover. This book provides the first systematic treatment of model risk, outlining the tools needed to quantify model uncertainty, to study its effects, and, in particular, to determine the best upper and lower risk bounds for various risk aggregation functionals of interest. Drawing on both numerical and analytical examples, this is a thorough reference work for actuaries, risk managers, and regulators. Supervisory authorities can use the methods discussed to challenge the models used by banks and insurers, and banks and insurers can use them to prioritize the activities on model development, identifying which ones require more attention than others. In sum, it is essential reading for all those working in portfolio theory and the theory of financial and engineering risk, as well as for practitioners in these areas. It can also be used as a textbook for graduate courses on risk bounds and model uncertainty. The first systematic treatment of model risk, this book provides the tools needed to quantify and assess the impact of model uncertainty. It will be essential for all those working in portfolio theory and the theory of financial and engineering risk, for practitioners in these areas, and for graduate courses on risk bounds and model uncertainty. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Codice articolo 9781009367165

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Model Risk Management : Risk Bounds Under Uncertainty

R�schendorf, Ludger; Vanduffel, Steven; Bernard, Carole

Editore: Cambridge University Press, 2024

ISBN 10: 1009367161 ISBN 13: 9781009367165

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Model Risk Management (Hardcover)

Ludger Rueschendorf

Editore: Cambridge University Press, Cambridge, 2024

ISBN 10: 1009367161 ISBN 13: 9781009367165

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Hardcover. Condizione: new. Hardcover. This book provides the first systematic treatment of model risk, outlining the tools needed to quantify model uncertainty, to study its effects, and, in particular, to determine the best upper and lower risk bounds for various risk aggregation functionals of interest. Drawing on both numerical and analytical examples, this is a thorough reference work for actuaries, risk managers, and regulators. Supervisory authorities can use the methods discussed to challenge the models used by banks and insurers, and banks and insurers can use them to prioritize the activities on model development, identifying which ones require more attention than others. In sum, it is essential reading for all those working in portfolio theory and the theory of financial and engineering risk, as well as for practitioners in these areas. It can also be used as a textbook for graduate courses on risk bounds and model uncertainty. The first systematic treatment of model risk, this book provides the tools needed to quantify and assess the impact of model uncertainty. It will be essential for all those working in portfolio theory and the theory of financial and engineering risk, for practitioners in these areas, and for graduate courses on risk bounds and model uncertainty. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability. Codice articolo 9781009367165

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