000			02671cam a2200253 i 4500
001			137420
003			ISI Library, Kolkata
005			20170223144221.0
008			150513s2015 si b 001 0 eng
020			_a9789814663403
040			_aISI Library
082	0	4	_a332.0415011 _223 _bT926
100	1		_aTunaru, Radu, _eauthor
245	1	0	_aModel risk in financial markets : _bfrom financial engineering to risk management / _cRadu Tunaru.
260			_aSingapore : _bWorld Scientific, _c2015.
300			_axxvii, 353 pages : _billustrations ; _c24 cm.
504			_aIncludes bibliographical references and index.
505	0		_a1. Introduction; 2. Fundamental Relationships; 3. Model Risk in Interest Rate Modelling; 4. Arbitrage Theory; 5. Derivatives Pricing Under Uncertainty; 6. Portfolio Selection under Uncertainty; 7. Probability Pitfalls of Financial Calculus; 8. Model Risk in Risk Measures Calculations; 9. Parameter Estimation Risk; 10. Computational Problems; 11. Portfolio Selection Using the Sharpe Ratio; 12. Bayesian Calibration for Low Frequency Data; 13. MCMC Estimation of Credit Risk Measures; 14. Last But Not Least. Can We Avoid the Next Big Systemic Financial Crisis?; 15. Notations for the study of MLE for CIR process.
520			_a"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	_aFinancial risk management.
650		0	_aRisk management.
650		0	_aFinancial engineering.
942			_2ddc _cBK
999			_c421588 _d421588