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MODEL RISK, Concepts, Calibration and Pricing

Author RISK BOOK
Publisher Risk Books
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Book Details
Author(s)RISK BOOK
PublisherRisk Books
ISBN / ASIN1899332898
ISBN-139781899332892
MarketplaceFrance 🇫🇷

Description

A comprehensive compilation on the concept of model risk and the potential pitfalls associated with modelling financial risks, this book provides an assessment of various models, examining the weaknesses and provides methods to mitigate potential model failures and deficiencies. It also covers the testing of models, what should be tested and what the parameters should be, with core contributions selected and introduced by Professor Rajna Gibson.