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Model Risk Management
Ludger Rüschendorf
Steven Vanduffel
Carole Bernard
其他書名
Risk Bounds under Uncertainty
出版
Cambridge University Press
, 2024-01-25
主題
Business & Economics / Corporate Finance / General
Mathematics / Optimization
ISBN
1009367161
9781009367165
URL
http://books.google.com.hk/books?id=sN7oEAAAQBAJ&hl=&source=gbs_api
EBook
SAMPLE
註釋
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.