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Meissner, Gunter

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

Meissner, Gunter - Correlation Risk Modeling and Management: An Applied Guide including the Basel III Correlation Framework - With Interactive Models in Excel / VBA, ebook

119,05€

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ISBN: 9781118796894
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A thorough guide to correlation risk and its growing importance in global financial markets

Ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to 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. This offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk.

  • Offers comprehensive coverage of a topic of increasing importance in the financial world
  • Includes the Basel III correlation framework
  • Features interactive models in Excel/VBA, an accompanying website with further materials, and problems and questions at the end of each chapter

Keywords: Insurance & Risk Management, Gunter Meissner, correlation risk modeling and management, correlation risk modeling, correlation risk management, guide to correlation risk management, guide to correlation risk modeling, Basel III regulations, correlation risk

Author(s)
Publisher
John Wiley and Sons, Inc.
Publication year
2014
Language
en
Edition
1
Series
Wiley Finance
Page amount
350 pages
Category
Economy
Format
Ebook
eISBN (ePUB)
9781118796894
Printed ISBN
9781118796900

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