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Understanding and Managing Model Risk
John Wiley & Sons
Druk vanaf
448 pp.
Management, Economie & Communicatie
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Understanding and Managing Model Risk

A Practical Guide for Quants, Traders and Validators

"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 ISDA and 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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