Correlation risk modeling and management : an applied guide including the Basel III correlation framework-- with interactive models in Excel/VBA /
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...
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| Format: | eBook |
| Language: | English |
| Published: |
Singapore :
Wiley,
[2014]
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| Series: | Wiley finance series.
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| Subjects: | |
| Online Access: | Full Text via HEAL-Link |
