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Correlation Risk Modeling and Management, + Website An Applied Guide including the Basel III Correlation Framework - With Interactive Models in Excel / VBA
Correlation Risk Modeling and Management, + Website An Applied Guide including the Basel III Correlation Framework - With Interactive Models in Excel / VBA
- ISBN 13:
9781118796900
- ISBN 10:
111879690X
- Format: Hardcover
- Copyright: 03/24/2014
- Publisher: Wiley
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Summary
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
