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.
General
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