Correlation Risk Modeling and Management An Applied Guide Including the Basel III Correlation Framework - With Interactive Models in Excel/VBA

ISBN-10: 111879690X
ISBN-13: 9781118796900
Edition: 2014
Authors: Gunter Meissner
List price: $171.95 Buy it from $60.09 Rent it from $34.20
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Description: This is the first rigorous book on the topic of Correlation Risk. Correlation Risk played a major part in the global financial crisis 2007-2009 when correlations unexpectedly increased sharply and lead to large unexpected losses. After the crisis,  More...

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Book details

List price: $171.95
Copyright year: 2014
Publisher: John Wiley & Sons (Asia) Pte Ltd Pacific
Publication date: 1/14/2014
Binding: Hardcover
Pages: 350
Size: 6.50" wide x 9.25" long x 1.00" tall
Weight: 1.430
Language: English

This is the first rigorous book on the topic of Correlation Risk. Correlation Risk played a major part in the global financial crisis 2007-2009 when correlations unexpectedly increased sharply and lead to large unexpected losses. After the crisis, correlation risk management has become a major focus of the risk management departments of financial institutions. In addition, the regulatory framework has responded. Correlation risk and its management is an integral part of the new Basel III framework. The new approaches to modeling and risk-managing correlation risk are discussed and explained in the book.

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