Coverart for item
The Resource Model risk in financial markets : from financial engineering to risk management, Radu Tunaru (University of Kent, UK)

Model risk in financial markets : from financial engineering to risk management, Radu Tunaru (University of Kent, UK)

Label
Model risk in financial markets : from financial engineering to risk management
Title
Model risk in financial markets
Title remainder
from financial engineering to risk management
Statement of responsibility
Radu Tunaru (University of Kent, UK)
Creator
Subject
Language
eng
Summary
The financial systems in most developed countries today build up a large amount of model risk on a daily basis. 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. 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. 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. It combines theory and practice, both the classical and modern concepts being introduced for financial modelling. Quantitative finance is a relatively new area of research and much has been written on various directions of research and industry applications. In this book the reader gradually learns to develop a critical view on the fundamental theories and new models being proposed.--
Assigning source
Provided by Publisher
Cataloging source
DLC
http://library.link/vocab/creatorName
Tunaru, Radu
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/subjectName
  • Financial risk management
  • Risk management
  • Financial engineering
Label
Model risk in financial markets : from financial engineering to risk management, Radu Tunaru (University of Kent, UK)
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier MARC source
rdacarrier.
Content category
text
Content type MARC source
rdacontent.
Contents
Introduction Fundamental Relationships Model Risk in Interest Rate Modelling Arbitrage Theory Derivatives Pricing Under Uncertainty Portfolio Selection Under Uncertainty Probability Pitfalls of Financial Calculus Model Risk in Risk Measures Calculations Parameter Estimation Risk Computational Problems Portfolio Selection Using Sharpe Ratio Bayesian Calibration for Low Frequency Data MCMC Estimation of Credit Risk Measures Last But Not Least. Can We Avoid the Next Big Systemic Financial Crisis? Notations for the Study of MLE for CIR Process
Control code
FIEb17732402
Dimensions
24 cm.
Extent
xxvii, 353 pages
Isbn
9789814663403
Media category
unmediated
Media MARC source
rdamedia.
System control number
(OCoLC)905520506
Label
Model risk in financial markets : from financial engineering to risk management, Radu Tunaru (University of Kent, UK)
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier MARC source
rdacarrier.
Content category
text
Content type MARC source
rdacontent.
Contents
Introduction Fundamental Relationships Model Risk in Interest Rate Modelling Arbitrage Theory Derivatives Pricing Under Uncertainty Portfolio Selection Under Uncertainty Probability Pitfalls of Financial Calculus Model Risk in Risk Measures Calculations Parameter Estimation Risk Computational Problems Portfolio Selection Using Sharpe Ratio Bayesian Calibration for Low Frequency Data MCMC Estimation of Credit Risk Measures Last But Not Least. Can We Avoid the Next Big Systemic Financial Crisis? Notations for the Study of MLE for CIR Process
Control code
FIEb17732402
Dimensions
24 cm.
Extent
xxvii, 353 pages
Isbn
9789814663403
Media category
unmediated
Media MARC source
rdamedia.
System control number
(OCoLC)905520506

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