A guide to the validation and risk management of quantitative
models used for pricing and hedging
Whereas the majority of quantitative finance books focus on
mathematics and risk management books focus on regulatory aspects,
this book addresses the elements missed by this literature—the
risks of the models themselves. This book starts from regulatory
issues, but translates them into practical suggestions to reduce
the likelihood of model losses, basing model risk and validation on
market experience and on a wide range of real-world examples, with
a high level of detail and precise operative indications.
Об авторе
Massimo 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 Ph D in Mathematics and an MSc in Economics.
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