Correlation risk modeling and management : an applied guide including the Basel III correlation framework-- with interactive models in Excel/VBA / Gunter Meissner.
By: Meissner, Gunter.
Material type:
BookSeries: Wiley finance series: Publisher: Singapore : Wiley, ©2014Description: 1 online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9781118809204; 1118809203; 1118796896; 9781118796894; 111879687X; 9781118796870; 9781118796900; 111879690X.Subject(s): Financial risk -- Mathematical models | Correlation (Statistics) | BUSINESS & ECONOMICS -- Industrial Management | BUSINESS & ECONOMICS -- Management | BUSINESS & ECONOMICS -- Management Science | BUSINESS & ECONOMICS -- Organizational BehaviorGenre/Form: Electronic books.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 Online resources: Wiley Online Library 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.
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.
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