Model Risk in Financial Markets: From Financial Engineering to Risk Management
| Author | : | |
| Rating | : | 4.17 (666 Votes) |
| Asin | : | 9814663409 |
| Format Type | : | paperback |
| Number of Pages | : | 384 Pages |
| Publish Date | : | 2017-03-06 |
| Language | : | English |
DESCRIPTION:
He holds a PhD in Statistical Modelling, 1999 London, and a PhD in Probability and Statistics from the Centre of Mathematical Statistics of the Romanian Academy, 2001, Bucharest. He has published over 45 papers and book chapter contributions. . His latest research is on new derivatives asset classes (property, dividend, volatility), Bayesian models in finance, model risk and options pricing. He serves as an associate editor on the board of Frontiers in Finance and Economics, Journal of Portf
It combines theory and practice, both the classical and modern concepts being introduced for financial modelling. In this book the reader gradually learns to develop a critical view on the fundamental theories and new models being proposed. However, this is not particularly visible as the financial risk management agenda is still dominated by the subprime-liquidity crisis, the sovereign crises, and other major political events. This book presents a wide perspective on model risk related to financial markets, running the gamut from financial engineering to risk management, from financial mathematics to financial statistics. Losses caused by model risk are hard to identify and even when they are internally identified, as such, they are most likely to be classified as normal losses due to market evolution.Model Risk in Financial Markets: From Financial Engineering to Risk Management seeks to change the current perspective on model innovation, implementation and validation. Quantitative finance is a relatively new area of research and much has been written on various directions of research and industry applications. Readership: Graduate s
From the Inside FlapThe financial systems in most developed countries today build up a large amount of model risk on a daily basis. In this book the reader gradually learns to develop a critical view on the fundamental theories and new models being proposed.. It combines theory and practice, both the classical and modern concepts being introduced for financial modelling. Losses caused by model risk are hard to identify and even when they are internally identified, as such, they are most likely t