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- catalog abstract "In the wake of recent failures of risk management there has been a widespread call for improved quantifications of the financial risks facing firms. At the forefront of this clamor has been value at risk. Previous research has identified differences in models, model risk, as an important impediment to developing a value at risk standard. By contrast, this research considers the divergence in a model's implementation in software, or system risk, and how it too, affects the establishment of a model-based standard of risk management. From an IT perspective, the study casts light on the subtleties of the modeler/developer/user/end-user decision making process. From a finance perspective, this paper also casts light on the extent to the underlying model of risk assessment, namely value at risk, provides users with a viable risk measurement standard. It illuminates an often forgotten aspect of the discussion regarding the use of complex models such as those used for risk management, namely the importance of their detailed implementation use, and interpretation in practice.".
- catalog contributor b10460788.
- catalog contributor b10460789.
- catalog created "c1996.".
- catalog date "1996".
- catalog date "c1996.".
- catalog dateCopyrighted "c1996.".
- catalog description "In the wake of recent failures of risk management there has been a widespread call for improved quantifications of the financial risks facing firms. At the forefront of this clamor has been value at risk. Previous research has identified differences in models, model risk, as an important impediment to developing a value at risk standard. By contrast, this research considers the divergence in a model's implementation in software, or system risk, and how it too, affects the establishment of a model-based standard of risk management. From an IT perspective, the study casts light on the subtleties of the modeler/developer/user/end-user decision making process. From a finance perspective, this paper also casts light on the extent to the underlying model of risk assessment, namely value at risk, provides users with a viable risk measurement standard. It illuminates an often forgotten aspect of the discussion regarding the use of complex models such as those used for risk management, namely the importance of their detailed implementation use, and interpretation in practice.".
- catalog description "Includes bibliographical references (leaves 102-107).".
- catalog description "Thesis (D.B.A.)--Harvard University, Graduate School of Business Administration, 1996.".
- catalog extent "ix, 160 leaves :".
- catalog issued "1996".
- catalog issued "c1996.".
- catalog language "eng".
- catalog subject "Financial futures Data processing.".
- catalog subject "Information storage and retrieval systems Finance.".
- catalog subject "Risk management Data processing.".
- catalog title "Complex models, their implementation and use : lessons from financial risk management / by Chris L. Marshall.".
- catalog type "text".