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About this product
- Description? Understanding and Managing Model Risk is a guide to the validation and risk management of quantitative models used for pricing and hedging.
- Author BiographyMassimo Morini is Head of Credit Models and Coordinator of Model Research at IMI Bank of Intesa San Paolo. He has spent the last ten years inventing new models, implementing them, and helping practitioners in using them for buying, selling, and hedging derivatives. This has exposed him to the most practical side of model risk, and has led him to investigate model uncertainty, model robustness, and the management of the risk of model losses. Massimo is also Professor of Fixed Income at Bocconi University and was a Research Fellow at Cass Business School, City University London. He regularly delivers advanced training in London New York and worldwide on model risk management, credit modelling, interest rate models and correlation modelling, where he teaches cutting edge innovations in quantitative finance and discusses their implications with practitioners from the major institutions. He has led workshops on financial modelling and the financial crisis at major international conferences, including Global Derivatives, the Quant Congress, and the Fixed Income Conference. He has published papers in journals including Risk Magazine, Mathematical Finance, and the Journal of Derivatives. Massimo holds a PhD in Mathematics and an MSc in Economics.
- Author(s)Massimo Morini
- PublisherJohn Wiley and Sons Ltd
- Date of Publication11/10/2011
- GenreFinance & Accounting
- Series TitleWiley Finance Series
- Place of PublicationChichester
- Country of PublicationUnited Kingdom
- ImprintJohn Wiley & Sons Ltd
- Content NoteIllustrations
- Weight904 g
- Width176 mm
- Height248 mm
- Spine30 mm
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