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Correlation risk modeling and management : an applied guide including the Basel III correlation framework-- with interactive models in Excel/VBA / Gunter Meissner.

By: Material type: TextTextSeries: Wiley finance seriesPublication details: Singapore : Wiley, ©2014.Description: 1 online resourceContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9781118809204
  • 1118809203
  • 1118796896
  • 9781118796894
  • 111879687X
  • 9781118796870
  • 9781118796900
  • 111879690X
Subject(s): Genre/Form: Additional physical formats: Print version:: Correlation risk modeling and management : an applied guiincluding the basel III correlation framework-with interactive models in excel/vba.DDC classification:
  • 658.15 23
LOC classification:
  • HG106
Online resources: Summary: 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.
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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