Correlation risk modeling and management : an applied guide including the Basel III correlation framework-- with interactive models in Excel/VBA / Gunter Meissner.
Material type: TextSeries: Wiley finance seriesPublication details: Singapore : Wiley, ©2014.Description: 1 online resourceContent type:- text
- computer
- online resource
- 9781118809204
- 1118809203
- 1118796896
- 9781118796894
- 111879687X
- 9781118796870
- 9781118796900
- 111879690X
- 658.15 23
- HG106
Includes bibliographical references and index.
Online resource; title from PDF title page (Wiley, viewed Jan. 6, 2014).
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. -- Edited summary from book.
Finance