MARC details
| 000 -LEADER |
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| fixed length control field |
02671cam a2200253 i 4500 |
| 001 - CONTROL NUMBER |
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| control field |
137420 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
ISI Library, Kolkata |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20170223144221.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
150513s2015 si b 001 0 eng |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9789814663403 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
ISI Library |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
332.0415011 |
| Edition number |
23 |
| Item number |
T926 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Tunaru, Radu, |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Model risk in financial markets : |
| Remainder of title |
from financial engineering to risk management / |
| Statement of responsibility, etc |
Radu Tunaru. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Place of publication, distribution, etc |
Singapore : |
| Name of publisher, distributor, etc |
World Scientific, |
| Date of publication, distribution, etc |
2015. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xxvii, 353 pages : |
| Other physical details |
illustrations ; |
| Dimensions |
24 cm. |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc |
Includes bibliographical references and index. |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
1. Introduction; <br/>2. Fundamental Relationships; <br/>3. Model Risk in Interest Rate Modelling; <br/>4. Arbitrage Theory; <br/>5. Derivatives Pricing Under Uncertainty; <br/>6. Portfolio Selection under Uncertainty;<br/>7. Probability Pitfalls of Financial Calculus; <br/>8. Model Risk in Risk Measures Calculations;<br/>9. Parameter Estimation Risk;<br/>10. Computational Problems;<br/>11. Portfolio Selection Using the Sharpe Ratio;<br/>12. Bayesian Calibration for Low Frequency Data;<br/>13. MCMC Estimation of Credit Risk Measures;<br/>14. Last But Not Least. Can We Avoid the Next Big Systemic Financial Crisis?;<br/>15. Notations for the study of MLE for CIR process. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
"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."-- |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Financial risk management. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Risk management. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Financial engineering. |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Books |
