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

Format:

Book

Author/Creator:

Meissner, Günter.

Series:

Wiley Finance

Wiley finance series

Language:

English

Subjects (All):

Technology--Risk assessment.

Technology.

Risk management.

Physical Description:

1 online resource (352 p.)

Edition:

1st ed.

Place of Publication:

Singapore : John Wiley & Sons, 2014.

Language Note:

English

Summary:

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 r

Contents:

Correlation Risk Modeling and Management: An Applied Guide Including the Basel III Correlation Framework-with Interactive Correlation Models in Excel®/VBA; Contents; Preface; Acknowledgments; About the Author; Chapter 1: Some Correlation Basics: Properties, Motivation, Terminology; 1.1 What Are Financial Correlations?; 1.2 What Is Financial Correlation Risk?; 1.3 Motivation: Correlations and Correlation Risk Are Everywhere in Finance; 1.3.1 Investments and Correlation; 1.3.2 Trading and Correlation; 1.3.3 Risk Management and Correlation

1.3.4 The Global Financial Crisis of 2007 to 2009 and Correlation1.3.5 Regulation and Correlation; 1.4 How Does Correlation Risk Fit into the Broader Picture of Risks in Finance?; 1.4.1 Correlation Risk and Market Risk; 1.4.2 Correlation Risk and Credit Risk; 1.4.3 Correlation Risk and Systemic Risk; 1.4.4 Correlation Risk and Concentration Risk; 1.5 A Word on Terminology; 1.6 Summary; Appendix 1A: Dependence and Correlation; Dependence; Correlation; Independence and Uncorrelatedness; Appendix 1B: On Percentage and Logarithmic Changes; Practice Questions and Problems

References and Suggested ReadingsChapter 2: Empirical Properties of Correlation: How Do Correlations Behave in the Real World?; 2.1 How Do Equity Correlations Behave in a Recession, Normal Economic Period, or Strong Expansion?; 2.2 Do Equity Correlations Exhibit Mean Reversion?; 2.2.1 How Can We Quantify Mean Reversion?; 2.3 Do Equity Correlations Exhibit Autocorrelation?; 2.4 How Are Equity Correlations Distributed?; 2.5 Is Equity Correlation Volatility an Indicator for Future Recessions?; 2.6 Properties of Bond Correlations and Default Probability Correlations; 2.7 Summary

Practice Questions and ProblemsReferences and Suggested Readings; Chapter 3: Statistical Correlation Models-Can We Apply Them to Finance?; 3.1 A Word on Financial Models; 3.1.1 The Financial Model Itself; 3.1.2 The Calibration of the Model; 3.1.3 Mindfulness about Models; 3.2 Statistical Correlation Measures; 3.2.1 The Pearson Correlation Approach and Its Limitations for Finance; 3.2.2 Spearman's Rank Correlation; 3.2.3 Kendall's T; 3.3 Should We Apply Spearman's Rank Correlation and Kendall's T in Finance?; 3.4 Summary; Practice Questions and Problems; References and Suggested Readings

Chapter 4: Financial Correlation Modeling-Bottom-Up Approaches4.1 Correlating Brownian Motions (Heston 1993); 4.1.1 Applications of the Heston Model; 4.2 The Binomial CorrelationMeasure; 4.2.1 Application of the Binomial Correlation Measure; 4.3 Copula Correlations; 4.3.1 The Gaussian Copula; 4.3.2 Simulating the Correlated Default Time for Multiple Assets; 4.3.3 Finding the Correlated Default Time in a Continuous Time Framework Using Survival Probabilities; 4.3.4 Copula Applications; 4.3.5 Limitations of the Gaussian Copula; 4.4 Contagion Correlation Models; 4.5 Summary

Appendix 4A: Cholesky Decomposition

Notes:

Description based upon print version of record.

Includes bibliographical references at the end of each chapters and index.

Description based on online resource; title from PDF title page (ebrary, viewed January 23, 2014).

ISBN:

9781118809204

1118809203

9781118796894

1118796896

9781118796870

111879687X

OCLC:

866737234