Managing Risk of Financial Models: A Smart and Simple Guide for the Practitioner - Softcover

Joshi, Aruna

Softcover

ISBN 10: 1976510341 ISBN 13: 9781976510342

Publisher: CreateSpace Independent Publishing Platform, 2017

Synopsis

How can a reputable hedge fund with sophisticated financial models collapse?Why do two borrowers with similar FICO scores pay different mortgage rates?What is the hype about stress testing for big banks?This book is for you if:You are a math nerd considering a career in financeYou financial institution is trying to grow its nascent model risk management programYou are interested in risk managementThis book is a simple, step-by-step guide to how top institutions determine what is a model, how to identify, assess, and mitigate model risk, and how to report to senior management.Using practical examples, this book gives an overview of the state of the art methods applied in establishing and maintaining a strong model risk management program at a financial institution.

About this title

About the Author

Aruna Joshi has been in the quantitative finance field for over two decades spanning financial software, mortgage insurance and banking. She has a Ph.D. in Mechanical Engineering and MFE (Master’s in Financial Engineering) from UC Berkeley. She also holds the FRM (Financial Risk Manager) Designation. She has authored several papers in top journals and is a frequent speaker at conferences related to Model Risk. She is also an adjunct faculty at University of San Francisco.

Review

Aruna Joshi's well-done book is filled with practical guidance and recommendations, providing a thorough overview of model risk management. The book lives up to its subtitle by being smart, simple, and practical. Readers will find valuable recommendations for important elements like documentation and validation templates, and each chapter includes a helpful summary of key takeaways. Writing this book was a great idea; I wish I had thought of it! I will certainly recommend it to others interested in managing model risk. - Mark Levonian, Managing Director, Promontory Financial Group, former Senior Deputy Comptroller for Economics at the OCC and led the team that developed OCC 2011-12 Supervisory Guidance on Model Risk Management

Aruna Joshi has written an excellent guide to the key components for establishing a strong Model Risk Management function.  I had my staff who are new to Model Risk Management read her book to understand the broader aspects of managing model risk as a risk management function.It is well written and to the point, so I would recommend it to anyone new to Model Risk Management to understand what SR11-7 is about and why it has to go beyond just the technical validations. - Shannon Kelly, Director Of Model Risk at Zions Bancorporation and former US Head of Model Risk at TD Bank

Edition details

• Publisher: CreateSpace Independent Publishing Platform
• Publication date: 2017
• Language: English
• ISBN 10: 1976510341
• ISBN 13: 9781976510342
• Binding: Paperback
• Number of pages: 100