September 10th, 2009, 10:42 am
Thank you Nivas for kind words. Part IV of the book is called Risk Management and is dedicated to issues around risk management of exotic IR products. The focus is very much on obtaining stable and robust risk sensitivities, but we do spend some time on general issues such as what is the risk management process, how the desk looks at it, practicalities, etc. We do not focus too much on model risk per se but throughout the book we discuss how to choose models appropriate for given products, how to calibrate them well, and how to assess the impact of such choices.