Model risk management: risk bounds under uncertainty
Auteur :
Rüschendorf, Ludger / Vanduffel, Steven / Bernard, Carole
Éditeur :
Cambridge University Press
ISBN :
9781009367165
Date de publication :
25 janv. 2024
Dimensions :
25,1 x 17,4 x 2,4 cm
Poids :
780 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
The first systematic treatment of model risk, this book provides the tools needed to quantify and assess the impact of model uncertainty. It will be essential for all those working in portfolio theory and the theory of financial and engineering risk, for practitioners in these areas, and for graduate courses on risk bounds and model uncertainty.