Correlation Risk Modeling and Management An Applied Guide Including the Basel III Correlation Framework - With Interactive Models in Excel/VBA
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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, 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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All the information you need in one place! Each Study Brief is a summary of one specific subject; facts, figures, and explanations to help you learn faster.
List price: $171.95
Copyright year: 2014
Publisher: John Wiley & Sons (Asia) Pte Ltd Pacific
Publication date: 1/14/2014
Size: 6.50" wide x 9.25" long x 1.00" tall