Model Risk Management

Name: Model Risk Management
Brand: Cambridge University Press
SKU: 9781009367165
Price: 14900.00 INR
Availability: InStock
ISBN: 9781009367165

Contributor(s): Ruschendorf, Ludger Author , Vanduffel, Steven Author , Bernard, Carole Author Format: Hardback

Hardback · ISBN 9781009367165

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Key Specifications

ISBN	9781009367165
Publisher	Cambridge University Press
Publication date	January 2024
Language	English
MRP	£105.00 GBP
Page count	346
Item weight	166 g

This book provides the first systematic treatment of model risk, outlining the tools needed to quantify model uncertainty, to study its effects, and, in particular, to determine the best upper and lower risk bounds for various risk aggregation functionals of interest. Drawing on both numerical and analytical examples, this is a thorough reference work for actuaries, risk managers, and regulators. Supervisory authorities can use the methods discussed to challenge the models used by banks and insurers, and banks and insurers can use them to prioritize the activities on model development, identifying which ones require more attention than others. In sum, it is essential reading for all those working in portfolio theory and the theory of financial and engineering risk, as well as for practitioners in these areas. It can also be used as a textbook for graduate courses on risk bounds and model uncertainty.

Model Risk Management

Key Specifications

Ruschendorf, Ludger Author

Vanduffel, Steven Author

Bernard, Carole Author

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