Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators

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9780470977613: Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators
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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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

L'autore:

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.

Dalla seconda/terza di copertina:

"The most thoughtful and yet practical book I've seen on dealing with model risk."
—Emanuel Derman, Professor at Columbia University, former Head of Quantitative Risk Management at Goldman Sachs, and author Models.Behaving.Badly

"Massimo Morini has provided a comprehensive and practical book on model risk that well covers the practitioner's needs in these post-credit-crisis times. The various applications are woven together by a strong conceptual underpinning that provides unity and coherence to the book. Traders, product controllers, regulators, accountants and, in general, students of the reality of financial modelling will greatly benefit from this high-quality work."
—Riccardo Rebonato, Head of Front Office Risk Management and Quantitative Analytics, RBS Global Banking & Markets, Visiting Lecturer, Mathematical Finance, Oxford University, and member of the Board of Directors of ISDAand GARP.

"At last, a book (other than my own obviously!) that takes model risk seriously. And does so by hitting the "maths sweet spot," not dumbed down and not trying to impress with complexity. I wish more finance books were this sensible."
—Paul Wilmott, Founder of the CQF, the world's largest quant education program.

“The recent credit crisis taught us that model risk can have disastrous consequences if not properly accounted for. This timely contribution by Massimo Morini presents thorough studies on the types of risk that arise when modeling and pricingcv derivatives across different asset classes. The perfect blend of rigorous modeling and market wisdom makes this excellent book a must have for quants and risk managers: model risk at no book risk.”
—Fabio Mercurio, Quant Business Manager, Bloomberg L.P., New York.

"Long-neglected by risk managers and regulators, model risk was shown to be a major component of the risk of derivatives portfolios during the recent financial crisis. Massimo Morini's book offers a much-needed resource for practitioners who want to deal with the "invisible" risks associated with the widespread use of quantitative models in finance."
—Rama Cont, Columbia University, New York, and CNRS, Paris

“Massimo Morini has a deep understanding of finance, banking and credit in all their aspects. This important book masters the subtle association between risk and valuation models -from how models are built mathematically to the role that they have come to play in the modern financial world. Understanding and Managing Model Risk is a unique 360-degree analysis of the subject,a much-needed contribution in the aftermath of the Credit Crunch. Model Risk is a must-read for serious quantitative analysts, accountants, financial engineers and regulators.” "
—EMarco Avellaneda, Director, Division of Quantitative Finance, Courant Institute, New York University.

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Massimo Morini
Editore: John Wiley & Sons Inc, United States (2011)
ISBN 10: 0470977612 ISBN 13: 9780470977613
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Descrizione libro John Wiley & Sons Inc, United States, 2011. Hardback. Condizione: New. 1. Auflage. Language: English. Brand new Book. 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. Codice articolo AAH9780470977613

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Descrizione libro Wiley 2011-10-11, Chichester, 2011. hardback. Condizione: New. Language: ENG. Codice articolo 9780470977613

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Descrizione libro John Wiley & Sons Inc, United States, 2011. Hardback. Condizione: New. 1. Auflage. Language: English. Brand new Book. 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. Codice articolo BTA9780470977613

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Descrizione libro John Wiley and#38; Sons, 2011. HRD. Condizione: New. New Book. Shipped from UK. Established seller since 2000. Codice articolo FW-9780470977613

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Descrizione libro 2011. Condizione: NEW. 9780470977613 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. For all enquiries, please contact Herb Tandree Philosophy Books directly - customer service is our primary goal. Codice articolo HTANDREE0780247

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Descrizione libro John Wiley & Sons Inc. Hardback. Condizione: New. New copy - Usually dispatched within 4 working days. ? Understanding and Managing Model Risk is a guide to the validation and risk management of quantitative models used for pricing and hedging. Codice articolo B9780470977613

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Descrizione libro John Wiley & Sons Inc, 2011. Hardcover. Condizione: Brand New. 1st edition. 448 pages. 10.00x7.00x1.50 inches. In Stock. Codice articolo __0470977612

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