Correlation risk modeling and management : an applied guide including the Basel III correlation framework-- with interactive models in Excel/VBA /
Meissner, Gunter, 1957-
Correlation risk modeling and management : an applied guide including the Basel III correlation framework-- with interactive models in Excel/VBA / Gunter Meissner. - Singapore : Wiley, ©2014. - 1 online resource. - Wiley finance series . - Wiley finance series. .
Includes bibliographical references and index.
The first rigorous guide to cover 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. The book offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk. It features interactive models in Excel/VBA, an accompanying website with further materials, and problems and questions at the end of each chapter. The guide is ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications. --
9781118809204 1118809203 1118796896 9781118796894 111879687X 9781118796870 9781118796900 111879690X
Financial risk--Mathematical models.
Correlation (Statistics)
BUSINESS & ECONOMICS--Industrial Management.
BUSINESS & ECONOMICS--Management.
BUSINESS & ECONOMICS--Management Science.
BUSINESS & ECONOMICS--Organizational Behavior.
Electronic books.
HG106
658.15
Correlation risk modeling and management : an applied guide including the Basel III correlation framework-- with interactive models in Excel/VBA / Gunter Meissner. - Singapore : Wiley, ©2014. - 1 online resource. - Wiley finance series . - Wiley finance series. .
Includes bibliographical references and index.
The first rigorous guide to cover 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. The book offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk. It features interactive models in Excel/VBA, an accompanying website with further materials, and problems and questions at the end of each chapter. The guide is ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications. --
9781118809204 1118809203 1118796896 9781118796894 111879687X 9781118796870 9781118796900 111879690X
Financial risk--Mathematical models.
Correlation (Statistics)
BUSINESS & ECONOMICS--Industrial Management.
BUSINESS & ECONOMICS--Management.
BUSINESS & ECONOMICS--Management Science.
BUSINESS & ECONOMICS--Organizational Behavior.
Electronic books.
HG106
658.15