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Correlation risk modeling and management : an applied guide including the Basel III correlation framework-- with interactive models in Excel/VBA /
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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Singapore :
Wiley,
©2014.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Meissner, Gunter, |d 1957- |1 https://id.oclc.org/worldcat/entity/E39PCjJRp83wt6j9XFJgkR7Mbm | |
| 245 | 1 | 0 | |a Correlation risk modeling and management : |b an applied guide including the Basel III correlation framework-- with interactive models in Excel/VBA / |c Gunter Meissner. |
| 260 | |a Singapore : |b Wiley, |c ©2014. | ||
| 300 | |a 1 online resource | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 504 | |a Includes bibliographical references and index. | ||
| 588 | 0 | |a Online resource; title from PDF title page (Wiley, viewed January 6, 2014). | |
| 520 | |a 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. -- |c Edited summary from book. | ||
| 505 | 0 | |a Correlation Risk Modeling and Management: An Applied Guide Including the Basel III Correlation Framework-with Interactive Correlation Models in Excel®/VBA; Contents; Preface; Acknowledgments; About the Author; Chapter 1: Some Correlation Basics: Properties, Motivation, Terminology; 1.1 What Are Financial Correlations?; 1.2 What Is Financial Correlation Risk?; 1.3 Motivation: Correlations and Correlation Risk Are Everywhere in Finance; 1.3.1 Investments and Correlation; 1.3.2 Trading and Correlation; 1.3.3 Risk Management and Correlation | |
| 505 | 8 | |a 1.3.4 The Global Financial Crisis of 2007 to 2009 and Correlation1.3.5 Regulation and Correlation; 1.4 How Does Correlation Risk Fit into the Broader Picture of Risks in Finance?; 1.4.1 Correlation Risk and Market Risk; 1.4.2 Correlation Risk and Credit Risk; 1.4.3 Correlation Risk and Systemic Risk; 1.4.4 Correlation Risk and Concentration Risk; 1.5 A Word on Terminology; 1.6 Summary; Appendix 1A: Dependence and Correlation; Dependence; Correlation; Independence and Uncorrelatedness; Appendix 1B: On Percentage and Logarithmic Changes; Practice Questions and Problems | |
| 505 | 8 | |a Practice Questions and ProblemsReferences and Suggested Readings; Chapter 3: Statistical Correlation Models-Can We Apply Them to Finance?; 3.1 A Word on Financial Models; 3.1.1 The Financial Model Itself; 3.1.2 The Calibration of the Model; 3.1.3 Mindfulness about Models; 3.2 Statistical Correlation Measures; 3.2.1 The Pearson Correlation Approach and Its Limitations for Finance; 3.2.2 Spearman's Rank Correlation; 3.2.3 Kendall's T; 3.3 Should We Apply Spearman's Rank Correlation and Kendall's T in Finance?; 3.4 Summary; Practice Questions and Problems; References and Suggested Readings | |
| 505 | 8 | |a Chapter 4: Financial Correlation Modeling-Bottom-Up Approaches4.1 Correlating Brownian Motions (Heston 1993); 4.1.1 Applications of the Heston Model; 4.2 The Binomial CorrelationMeasure; 4.2.1 Application of the Binomial Correlation Measure; 4.3 Copula Correlations; 4.3.1 The Gaussian Copula; 4.3.2 Simulating the Correlated Default Time for Multiple Assets; 4.3.3 Finding the Correlated Default Time in a Continuous Time Framework Using Survival Probabilities; 4.3.4 Copula Applications; 4.3.5 Limitations of the Gaussian Copula; 4.4 Contagion Correlation Models; 4.5 Summary | |
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| 650 | 0 | |a Financial risk |x Mathematical models. | |
| 650 | 0 | |a Correlation (Statistics) | |
| 650 | 6 | |a Risque financier |x Modèles mathématiques. | |
| 650 | 6 | |a Corrélation (Statistique) | |
| 650 | 7 | |a correlation. |2 aat | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Industrial Management. |2 bisacsh | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Management. |2 bisacsh | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Management Science. |2 bisacsh | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Organizational Behavior. |2 bisacsh | |
| 650 | 7 | |a Correlation (Statistics) |2 fast | |
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| 776 | 0 | 8 | |i Print version: |a Meissner, Gunter. |t Correlation risk modeling and management : an applied guiincluding the basel III correlation framework-with interactive models in excel/vba. |d Singapore : John Wiley & Sons, ©2014 |h xix, 330 pages |k Wiley finance series. |z 9781118796900 |
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