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...
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| Format: | eBook |
| Language: | English |
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Singapore :
Wiley,
[2014]
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| Series: | Wiley finance series.
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| Subjects: | |
| Online Access: | View fulltext via EzAccess |
| 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. -- |
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| Physical Description: | 1 online resource. |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9781118809204 1118809203 1118796896 9781118796894 111879687X 9781118796870 9781118796900 111879690X |