Correlation risk modeling and management : an applied guide including the Basel III correlation framework-- with interactive models in Excel/VBA /

• Κύριος συγγραφέας: Meissner, Gunter, 1957-
• Μορφή: Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Singapore : Wiley, [2014]
• Σειρά: Wiley finance series.
• Θέματα: Financial risk > Mathematical models.; Correlation (Statistics); BUSINESS & ECONOMICS > Industrial Management.; BUSINESS & ECONOMICS > Management.; BUSINESS & ECONOMICS > Management Science.; BUSINESS & ECONOMICS > Organizational Behavior.; Electronic books.

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...