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. 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. Fax: Fax outside U. 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.
Description 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. Other books in this series. Value Investing Bruce C. Add to basket.
Investment Banking Joshua Rosenbaum. Investment Valuation Aswath Damodaran. Valuation Inc. Expected Returns Antti Ilmanen. Damodaran on Valuation Aswath Damodaran.
London Financial Studies - Managing Model Risk for Quants, Traders and Validators (London)
Financial Statement Analysis Martin S. Dynamic Hedging Nassim Nicholas Taleb. Deep Value Tobias E. Quantitative Momentum Wesley R. Alternative Investments Mark J.
Financial Modeling and Valuation Paul Pignataro. The Conscious Investor John Price. Quantitative Value Wesley R.
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Flap copy "The most thoughtful and yet practical book I've seen on dealing with model risk. 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. 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.
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.
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. 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 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. Back cover copy The proliferation of increasingly complex pricing models has vastly expanded the operational capabilities of financial institutions within financial markets.
However, it has also increased the industry's reliance on quantitative instruments, and created massive model risk.
Consequently, model validation and model risk management are crucial tools for success in the market. Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators brings together a wide range of detailed real world examples, quantitative analysis and regulatory issues. It investigates the interaction between mathematics and the reality of markets, including the explanation of model errors and misunderstandings, providing readers with the operative indications and practical insight to help mitigate the likelihood of model losses.
Taking an operative as opposed to a bureaucratic approach to model validation, the book: Examines the risks arising from the use of models in calibration, pricing, hedging, correlation modelling, extrapolation and statistical arbitrage. Tackles modern day modelling issues including funding and market liquidity, CSA discounting, basis risk, counterparty risk, approximation errors, regulatory uncertainties and stress-testing. Investigates consensus models and how consensus can suddenly break down.
Explores in detail examples from interest rate, credit and hybrid markets, covering also equity and cross-currency risks. Analyzes and compares a range of models including stochastic and local volatility, jumps, Libor and SABR models, copulas, structural and reduced-form models. Understanding and Managing Model Risk offers an in-depth understanding of the financial implications of mathematical assumptions, and provides the right tools to identify, quantify and manage the risks inherent in the use of quantitative models.