Cover image for Correlation risk modeling and management an applied guide including the Basel III correlation framework-- with interactive models in Excel/VBA
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.
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