Multi-Asset Risk Modeling: Techniques for a Global Economy in an Electronic and Algorithmic Trading Era
Autor Morton Glantz, Robert Kissellen Limba Engleză Hardback – 14 ian 2014
- Covers all asset classes
- Provides mathematical theoretical explanations of risk as well as practical examples with empirical data
- Includes sections on equity risk modeling, futures and derivatives, credit markets, foreign exchange, and commodities
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Specificații
ISBN-13: 9780124016903
ISBN-10: 0124016901
Pagini: 544
Ilustrații: illustrations
Dimensiuni: 191 x 235 x 33 mm
Greutate: 1.28 kg
Editura: ELSEVIER SCIENCE
ISBN-10: 0124016901
Pagini: 544
Ilustrații: illustrations
Dimensiuni: 191 x 235 x 33 mm
Greutate: 1.28 kg
Editura: ELSEVIER SCIENCE
Public țintă
Undergraduate and graduate students, professors, and professionals working with financial risk management techniques who want reference information about theoretical models and applications.Cuprins
- Introduction to Multi-Asset Risk Modeling – Lessons from the Debt Crisis
- A Primer on Risk Mathematics
- A Primer on Quantitative Risk Analysis - by Johnathan Mun
- Price Volatility
- Factor Models
- Equity Derivatives
- Foreign Exchange Market and Interest Rates
- Algorithmic Trading Risk
- Risk Hedging Techniques
- Rating Credit Risk: Current Practices, Model Design and Applications
- A Basic Credit Default Swap Model
- Multi-Asset Corporate Restructurings and Valuations
- Extreme Value Theory and Application to Market Shocks for Stress Testing and Extreme Value at Risk
- Case Study: Ensuring Sustainability of an Institution as a Going Concern: An Approach to Dealing with Black Swan or Tail Risk - by Karamjeet Paul
Recenzii
"…explains advanced risk-modeling techniques for equities, debt, fixed income, futures and derivatives, commodities, and foreign exchange, as well as advanced algorithmic and electronic risk management….focuses on the application of proper volatility and factor models, optimization techniques, and the evaluation of traditional and nontraditional sources of risk." --ProtoView.com, March 2014
"The financial crisis has shown that measurement and control of financial risks is a crucial task for a financial institution that cannot be delegated to a few specialists in the quant department. This very readable book provides a good introduction to many hot issues in financial risk management at a level accessible to the non-specialist." --Ruediger Frey, Wirtschaftsuniversität Wien
"Multi-Asset Risk Modeling presents a comprehensive overview and summary of methods employed in finance. The statistical methods based on real-world examples provide a practical introduction for students, and the book is a valuable source for financial engineering and risk management tools as well."--Alois Pichler, Universität Wien
"The text offers an up-to-date and practical coverage of a wide range of topics in risk modeling and risk management, representing a good source for both students and practitioners." --Giorgio Fazio, Università degli Studi di Palermo
"The financial crisis has shown that measurement and control of financial risks is a crucial task for a financial institution that cannot be delegated to a few specialists in the quant department. This very readable book provides a good introduction to many hot issues in financial risk management at a level accessible to the non-specialist." --Ruediger Frey, Wirtschaftsuniversität Wien
"Multi-Asset Risk Modeling presents a comprehensive overview and summary of methods employed in finance. The statistical methods based on real-world examples provide a practical introduction for students, and the book is a valuable source for financial engineering and risk management tools as well."--Alois Pichler, Universität Wien
"The text offers an up-to-date and practical coverage of a wide range of topics in risk modeling and risk management, representing a good source for both students and practitioners." --Giorgio Fazio, Università degli Studi di Palermo