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Model Risk Management - Risk Bounds under Uncertainty: Ludger Rüschendorf, Steven Vanduffel, Carole Bernard Model Risk Management - Risk Bounds under Uncertainty
Ludger Rüschendorf, Steven Vanduffel, Carole Bernard
R3,036 Discovery Miles 30 360 Ships in 12 - 19 working days

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 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 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: 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, for practitioners in these areas, and can also be used with graduate courses on risk bounds and model uncertainty.

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