Correlation risk modeling and management an applied guide including the Basel III correlation framework-- with interactive models in Excel/VBA
by
Meissner, Gunter, 1957-
Title
:
Correlation risk modeling and management an applied guide including the Basel III correlation framework-- with interactive models in Excel/VBA
Author
:
Meissner, Gunter, 1957-
ISBN
:
9781118809204
9781118796894
9781118796870
Publication Information
:
Singapore : Wiley, ©2014.
Physical Description
:
1 online resource.
Abstract
:
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.
Subject Term
:
Financial risk -- Mathematical models.
Correlation (Statistics)
Electronic Access
:
Library | Material Type | Item Barcode | Shelf Number | [[missing key: search.ChildField.HOLDING]] | Status |
---|
Online Library | E-Book | 341809-1001 | ONLINE(341809.1) | | Elektronik Kütüphane |