Model Risk Management : Risk Bounds under Uncertainty Hardback
by Ludger (Albert-Ludwigs-Universitat Freiburg, Germany) Ruschendorf, Steven (Vrije Universiteit Brussel) Vanduffel, Carole (Grenoble Ecole de Management) Bernard
Hardback
Description
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.
Information
-
Out of stock
- Format:Hardback
- Pages:345 pages, Worked examples or Exercises
- Publisher:Cambridge University Press
- Publication Date:25/01/2024
- Category:
- ISBN:9781009367165
Information
-
Out of stock
- Format:Hardback
- Pages:345 pages, Worked examples or Exercises
- Publisher:Cambridge University Press
- Publication Date:25/01/2024
- Category:
- ISBN:9781009367165