Risk Model Validation, Second Edition

Christian Meyer and Peter Quell

ISBN 10: 1782722637 ISBN 13: 9781782722632

Published by Risk Books, 2016

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254 pages. 9.13x6.14x1.10 inches. In Stock. Seller Inventory # zk1782722637

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Synopsis:

Quantitative risk models have been presented as one of the causes of the financial crisis that started in 2007. In this fully updated second edition, authors Christian Meyer and Peter Quell give a holistic view of risk models: their construction, appropriateness, validation and why they play such an important role in the financial markets.

About the Author: Christian Meyer is working as Quantitative Analyst in the Portfolio Modeling Team for Market and Credit Risk in the Risk Controlling Unit of DZ BANK AG in Frankfurt where he is responsible for the development of portfolio models for credit risk in the banking book and incremental risk in the trading book. Prior to joining DZ BANK AG he was working for KPMG where he dealt with various aspects (audit and consulting) of market risk, credit risk, and economic capital models in the banking industry. He holds a diploma and PhD in Mathematics.

Peter Quell is Head of the Portfolio Analytics Team for Market and Credit Risk in the Risk Controlling Unit of DZ BANK AG in Frankfurt. Prior to joining DZ BANK AG he was Manager at d-fine GmbH where he dealt with various aspects of risk management systems in the banking industry. He holds a MSc. in Mathematical Finance from Oxford University and a PhD in Mathematics.

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Bibliographic Details

Title: Risk Model Validation, Second Edition
Publisher: Risk Books
Publication Date: 2016
Binding: Paperback
Condition: Brand New

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