{"product_id":"model-risk-management-risk-bounds-under-uncertainty-hardback-9781009367165","title":"Model Risk Management; Risk Bounds under Uncertainty (Hardback) 9781009367165","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eModel Risk Management\u003c\/font\u003e\u003cbr\u003e\r\n\u003cfont size=\"5\"\u003eRisk Bounds under Uncertainty\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cem\u003eDevelop the tools to quantify model risk, to study its effects in finance, insurance, and engineering, and to reduce it.\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eLudger Rüschendorf (Author), Steven Vanduffel (Author), Carole Bernard (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9781009367165, Cambridge University Press\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 25 January 2024\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e345 pages\u003cbr\u003e25.1 x 17.4 x 2.4 cm, 0.78 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cem\u003e\u003cfont size=\"3\"\u003e'This phenomenal reference text is the first to provide a systematic treatment of model uncertainty in a quantitative risk management context. It offers a broad array of methods for determining optimal bounds for portfolio VaR and other risk aggregation measures when only partial information is available about the model structure. Every actuary, quant, and regulator should own this book and apply its lessons in the insurance and financial services industry.' Christian Genest, FRSC, Canada Research Chair, McGill University\u003c\/font\u003e\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003eThis 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.\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eIntroduction\u003cbr\u003e Part I. Risk Bounds for Portfolios Based on Marginal Information: 1. Risk bounds with known marginal distributions\u003cbr\u003e 2. Rearrangement algorithm\u003cbr\u003e 3. Dual bounds\u003cbr\u003e 4. Asymptotic equivalence results\u003cbr\u003e Part II. Additional Dependence Constraints: 5. Improved standard bounds\u003cbr\u003e 6. VaR bounds with variance constraints\u003cbr\u003e 7. Distributions specified on a subset\u003cbr\u003e Part III. Additional Information on the Structure: 8. Additional information on functionals of the risk vector\u003cbr\u003e 9. Partially specified risk factor models\u003cbr\u003e 10. Models with a specified subgroup structure\u003cbr\u003e Part IV. Risk Bounds Under Moment Information: 11. Bounds on VaR, TVaR, and RVaR under moment information\u003cbr\u003e 12. Bounds for distortion risk measures under moment information\u003cbr\u003e 13. Bounds for VaR, TVaR, and RVaR under unimodality constraints\u003cbr\u003e 14. Moment bounds in neighborhood models\u003cbr\u003e References\u003cbr\u003e Index.\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Optimization [\u003ca title=\"See our other books on Optimization\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Optimization%20%5BPBU%5D%22\"\u003ePBU\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Cambridge University Press","offers":[{"title":"Brand New","offer_id":52503038984472,"sku":"9781009367165","price":84.95,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/files\/9781009367165i.jpg?v=1786324990","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/model-risk-management-risk-bounds-under-uncertainty-hardback-9781009367165","provider":"Freshly Printed Books","version":"1.0","type":"link"}