Understanding and Managing Model Risk (eBook)

A Practical Guide for Quants, Traders and Validators

Massimo Morini (Autor)

eBook Download: PDF

2011 | 1. Auflage
352 Seiten
John Wiley & Sons (Verlag)
9781119960850 (ISBN)

Infos

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.

Autor

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.

Produkt-Details

• Erscheint lt. Verlag: 20.9.2011
• Reihe/Serie: Wiley Finance Series
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: Finance & Investments • Financial Engineering • Finanztechnik • Finanz- u. Anlagewesen
• ISBN-13: 9781119960850 / 9781119960850