Correlation Risk Modeling and Management An Applied Guide Including the Basel III Correlation Framework - With Interactive Correlation Models in Excel/VBA - Wiley Finance Series

Hardback (30 May 2014)

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Publisher's Synopsis

A relatively overlooked type of risk until it caused major unexpected losses during the financial crisis of 2007 through to 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 title offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk.

Book information

ISBN:	9781118796900
Publisher:	Wiley
Imprint:	John Wiley & Sons, Inc.
Pub date:	30 May 2014
DEWEY:	368
DEWEY edition:	23
Number of pages:	xix, 330
Weight:	656g
Height:	235mm
Width:	166mm
Spine width:	24mm