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Correlation Risk Modeling and Management

An Applied Guide including the Basel III Correlation Framework with Interactive Models in Excel / VBA

Correlation Risk Modeling and Management Image

Book details:

Publisher:John Wiley & Sons
Category: Wiley
Author:
Edition:1
ISBN-10:111879690X
ISBN-13:9781118796900
Pages:352
Published:
Posted:Jun 12 2017
Language:English
Book format:PDF
Book size:4.3 MB

Book Description:

A thorough guide to correlation risk and its growing importance in global financial markets Ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to the topic of correlation risk. A relatively overlooked type of risk until it caused major unexpected losses during the financial crisis of 2007 through 2009, correlation risk has become a major focus of the risk management departments in major financial institutions, particularly since Basel III specifically addressed correlation risk with new regulations. This offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk. Offers comprehensive coverage of a topic of increasing importance in the financial world Includes the Basel III correlation framework Features interactive models in Excel/VBA, an accompanying website with further materials, and problems and questions at the end of each chapter

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