Meissner Correlation Risk Modeling and Management

An Applied Guide including the Basel III Correlation Framework - With Interactive Models in Excel / VBA
1. Auflage 2013
ISBN: 978-1-118-79687-0
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 350 Seiten, E-Book

Reihe: Wiley Finance Editions

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

Autoren/Hrsg.

Meissner, Gunter

Über Autor(innen)

GUNTER MEISSNER, PH.D., heads Dersoft (www.dersoft.com),the software company behind TradeSmart, a software package thatderives futures, options, and swaps prices and risk parameters. Inaddition, he runs a hedge fund (www. cassandracm.com), and isAdjunct Professor of Mathematical Finance at NYU.
Dr. Meissner joined Deutsche Bank in 1990, where he tradedinterest rate futures, swaps, and options in Frankfurt and NewYork. He became Head of Product Development in 1994, responsiblefor originating algorithms for new derivatives products. In1995/1996 Dr. Meissner became Head of Options at Deutsche BankTokyo. From 1997 to 2007, he was Professor of Finance at HawaiiPacific University. From 2008 to 2013 he was Director of the Masterin Financial Engineering program at the Shidler College of Businessat the University of Hawaii. The author of numerous publishedpapers on derivatives in international journals, Dr. Meissner alsois a frequent speaker at international conferences and seminars andthe author of four other books, including The Definitive Guideto CDOs: Application, Pricing, and Risk Management.