Correlation risk modeling and management : an applied guide including the Basel III correlation framework-- with interactive models in Excel/VBA
Meissner, Gunter
1957-
creator
text
bibliography
Electronic books.
si
Singapore
Wiley
©2014
2014
monographic
eng
1 online resource.
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. --
Gunter Meissner.
Includes bibliographical references and index.
Financial risk
Mathematical models
Correlation (Statistics)
BUSINESS & ECONOMICS
Industrial Management
BUSINESS & ECONOMICS
Management
BUSINESS & ECONOMICS
Management Science
BUSINESS & ECONOMICS
Organizational Behavior
HG106
658.15
Correlation risk modeling and management : an applied guiincluding the basel III correlation framework-with interactive models in excel/vba
Meissner, Gunter.
Singapore : John Wiley & Sons, ©2014
xix, 330 pages
Wiley finance series
9781118809204
1118809203
1118796896
9781118796894
111879687X
9781118796870
9781118796900
111879690X
http://onlinelibrary.wiley.com/book/10.1002/9781118809204
http://onlinelibrary.wiley.com/book/10.1002/9781118809204
YDXCP
131224
20171101093127.0
ocn866737234
eng