Market Consistency by Malcolm Kemp - 9780470770887

Market ConsistencyModel Calibration in Imperfect Markets\nAuthor(s): Malcolm Kemp\nFormat: Hardback\nPublisher: John Wiley & Sons Inc, United States\nImprint: John Wiley & Sons Inc\nISBN-13: 9780470770887, 978-0470770887\nSynopsis\nAchieving market consistency can be challenging, even for the most established finance practitioners. In Market Consistency: Model Calibration in Imperfect Markets, leading expert Malcolm Kemp shows readers how they can best incorporate market consistency across all disciplines. Building on the author's experience as a practitioner, writer and speaker on the topic, the book explores how risk management and related disciplines might develop as fair valuation principles become more entrenched in finance and regulatory practice. This is the only text that clearly illustrates how to calibrate risk, pricing and portfolio construction models to a market consistent level, carefully explaining in a logical sequence when and how market consistency should b.