Morini Understanding and Managing Model Risk

A Practical Guide for Quants, Traders and Validators
1. Auflage 2011
ISBN: 978-0-470-97774-3
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 352 Seiten, E-Book

A guide to the validation and risk management of quantitativemodels used for pricing and hedging
Whereas the majority of quantitative finance books focus onmathematics and risk management books focus on regulatory aspects,this book addresses the elements missed by this literature--therisks of the models themselves. This book starts from regulatoryissues, but translates them into practical suggestions to reducethe likelihood of model losses, basing model risk and validation onmarket experience and on a wide range of real-world examples, witha high level of detail and precise operative indications.

Autoren/Hrsg.

Morini, Massimo

Über Autor(innen)

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.