Understanding and Managing Model Risk PDF ePub eBook

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Understanding and Managing Model Risk free pdf 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.

About Massimo Morini

Massimo Morini is Head of Credit Models and Coordinator ofModel Research at IMI Bank of Intesa San Paolo. He has spent thelast ten years inventing new models, implementing them, and helpingpractitioners in using them for buying, selling, and hedgingderivatives. This has exposed him to the most practical side ofmodel risk, and has led him to investigate model uncertainty, modelrobustness, and the management of the risk of model losses.

Massimo is also Professor of Fixed Income at Bocconi Universityand was a Research Fellow at Cass Business School, City UniversityLondon. He regularly delivers advanced training in London New Yorkand worldwide on model risk management, credit modelling, interestrate models and correlation modelling, where he teaches cuttingedge innovations in quantitative finance and discusses theirimplications with practitioners from the major institutions. He hasled workshops on financial modelling and the financial crisis atmajor international conferences, including Global Derivatives, theQuant Congress, and the Fixed Income Conference. He has publishedpapers in journals including Risk Magazine, MathematicalFinance, and the Journal of Derivatives.

Massimo holds a PhD in Mathematics and an MSc in Economics.


Details Book

Author : Massimo Morini
Publisher : John Wiley
Data Published : 11 October 2011
ISBN : 0470977612
EAN : 9780470977613
Format Book : PDF, Epub, DOCx, TXT
Number of Pages : 448 pages
Age + : 15 years
Language : English
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