portada Model Risk Management: Risk Bounds Under Uncertainty (en Inglés)

Model Risk Management: Risk Bounds Under Uncertainty (en Inglés)

Formato

Libro Físico

Autor

Ludger Rüschendorf

Steven Vanduffel

Carole Bernard

Editorial

Cambridge University Press

Idioma

Inglés

N° páginas

345

Encuadernación

Tapa Dura

Dimensiones

24.4x17x2.4 cm

Peso

0.79 kg.

ISBN13

9781009367165

N° edición

Categorías

Gestión financiera de las sociedades
Optimización

Model Risk Management: Risk Bounds Under Uncertainty (en Inglés)

Ludger Rüschendorf (Autor) · Steven Vanduffel (Autor) · Carole Bernard (Autor) · Cambridge University Press · Tapa Dura

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Reseña del libro "Model Risk Management: Risk Bounds Under Uncertainty (en Inglés)"

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.