Model Risk Management: Risk Bounds under Uncertainty

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Ludger Rüschendorf (Albert-Ludwigs-Universität Freiburg, Germany) Steven Vanduffel (Vrije Universiteit Brussel)

Model Risk Management

Risk Bounds under Uncertainty

Ludger Rüschendorf (Albert-Ludwigs-Universität Freiburg, Germany), Steven Vanduffel (Vrije Universiteit Brussel), Carole Bernard (Grenoble Ecole de Management)

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English

Cambridge University Press
25 January 2024

Risk assessment; Corporate finance; Insurance & actuarial studies; Probability & statistics; Mathematical modelling

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.

By: Ludger Rüschendorf (Albert-Ludwigs-Universität Freiburg Germany), Steven Vanduffel (Vrije Universiteit Brussel), Carole Bernard (Grenoble Ecole de Management)
Imprint: Cambridge University Press
Country of Publication: United Kingdom
Dimensions: Height: 251mm, Width: 174mm, Spine: 24mm
Weight: 780g
ISBN: 9781009367165
ISBN 10: 1009367161
Pages: 345
Publication Date: 25 January 2024
Audience: General/trade , ELT Advanced
Format: Hardback
Publisher's Status: Active

Ludger Rüschendorf is Professor of Mathematics at the University of Freiburg. He is author of more than 200 research papers and a number of textbooks, in a variety of subjects in probability, statistics, analysis of algorithms as well as in risk analysis and in mathematical finance. A main topic in his research is the modeling and analysis of dependence structures. Steven Vanduffel is Professor in Risk Management at the Solvay Business School at Vrije Universiteit Brussel. He has authored papers for leading journals including 'Journal of Risk and Insurance,' 'Finance and Stochastics,' 'Mathematical Finance,' and 'Journal of Econometrics.' He has won prizes including the Robert I. Mehr Award (2022), the Robert C. Witt Award (2018), and the Redington Prize (2015). Carole Bernard is Professor in Finance at Grenoble Ecole de Management and Vrije Universiteit Brussel. She has published articles in leading journals in finance, insurance, operations research, and risk management, including 'Management Science,' 'Journal of Risk and Insurance,' 'Journal of Banking and Finance,' and 'Mathematical Finance.'

Reviews for Model Risk Management: Risk Bounds under Uncertainty

'Written by three of the foremost experts in the field, Model Risk Management is the definitive textbook on bounding aggregate or portfolio risks in the face of partial information about their probabilistic structure, a problem that has applications in many areas of financial risk management, and beyond.' Alexander McNeil, University of York '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