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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.
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GUNTER MEISSNER, PH.D., heads Dersoft (www.dersoft.com), the software company behind TradeSmart, a software package that derives futures, options, and swaps prices and risk parameters. In addition, he runs a hedge fund (www. cassandracm.com), and is Adjunct Professor of Mathematical Finance at NYU.
Dr. Meissner joined Deutsche Bank in 1990, where he traded interest rate futures, swaps, and options in Frankfurt and New York. He became Head of Product Development in 1994, responsible for originating algorithms for new derivatives products. In 1995/1996 Dr. Meissner became Head of Options at Deutsche Bank Tokyo. From 1997 to 2007, he was Professor of Finance at Hawaii Pacific University. From 2008 to 2013 he was Director of the Master in Financial Engineering program at the Shidler College of Business at the University of Hawaii. The author of numerous published papers on derivatives in international journals, Dr. Meissner also is a frequent speaker at international conferences and seminars and the author of four other books, including The Definitive Guide to CDOs: Application, Pricing, and Risk Management.Dalla seconda/terza di copertina:
The risk of financial loss due to unfavorable movements in the correlation between two or more assets, correlation risk is a critical factor in many areas of finance, including trading, investing, portfolio management and regulation. As was vividly demonstrated by the 2007–2009 global financial crisis, correlations also play a vital role in systemic crises, where sudden increases in correlations can lead to devastating losses.
As a consequence, over the past several years, correlation risk has become a major focus in the risk management departments of most major financial institutions. In addition, correlation is also the centerpiece of the Basel Accords to derive value at risk (VAR), credit value at risk, (CVAR) and credit value adjustment (CVA).
Written by a leading international authority in the field, Correlation Risk Modeling and Management is the first hands-on guide to this increasingly crucial topic. Designed to function as both a working resource for an array of finance professionals, including risk managers, analysts, traders, brokers, compliance officers and controllers, as well as a key student text/study guide, this book:
Correlation Risk Management and Modeling is an indispensable resource for anyone with exposure to financial correlations and financial correlation risk. It also is an excellent graduate-level text and a valuable study guide for those preparing to sit for their CFA, PRMIA, CAIA exams or other related certification tests.
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Descrizione libro Wiley, 2014. Hardcover. Condizione: New. Never used!. Codice articolo P11111879690X
Descrizione libro Wiley, 2014. Condizione: New. book. Codice articolo M111879690X
Descrizione libro John Wiley & Sons Inc, 2014. Hardcover. Condizione: Brand New. 1st edition. 350 pages. 9.25x6.50x1.00 inches. In Stock. Codice articolo zk111879690X
Descrizione libro Wiley, 2014. Hardcover. Condizione: New. 1. Ships with Tracking Number! INTERNATIONAL WORLDWIDE Shipping available. Buy with confidence, excellent customer service!. Codice articolo 111879690Xn