Correlation Risk Modelling and Management
Correlation Risk Modelling and Management

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Gunter Meissner returns with a fully updated second edition of Correlation Risk Modelling and Management, the first book to address financial correlation risk in detail. Professor Meissner also provides the reader with 35 companion VBA models which accompany the book.Correlation risk was highlighted in the global financial crisis of 2007-09, when correlations between many financial variables, such as return correlation between equities, the default correlation between debtors or the default correlation between a debtor and an insurer, increased dramatically. This led to huge unexpected losses for many financial institutions, which in part triggered the global financial crisis.Correlation Risk Modelling and Management gives the reader an overview of the main correlation models:• Statistical models;• Deterministic financial models (bottom-up & top-down); and• Stochastic financial models.The book discusses the conceptual, mathematical and computational properties of the models and evaluates their benefits and limitations for finance, making it valuable to anyone who is exposed to financial correlations and financial correlation risk, a big range!A must-read for upper management, risk managers, analysts, traders, compliance departments, model validation groups, controllers, reporting groups and brokers.“In the past, derivatives researchers have devoted a great deal of effort to modeling volatility, but have not paid enough attention on correlation. The crisis of 2008 showed us just how important correlation can be. This book looks at all aspects of correlation modeling and will be a valuable resource for both academics and practitioners.”JOHN HULL – Maple Financial Professor of Derivatives and Risk Management Joseph L. Rotman School of Management,University of Toronto.“Correlation is the most frightening and least understood subject in quant finance. While everyone else has their fingers in their ears going ‘La la la’ pretending there isn’t a problem, Professor Meissner is continuing to make advances that will lead to better and safer models. His latest edition is another ‘must read.’”PAUL WILMOTT, Researcher, Author, Consultant; President of the CQF (Certificate in Quantitative Finance).“The book covers a critical, yet often neglected risk: Correlation risk. Correlations between many assets typically increase in a crisis and can lead to large unexpected losses as seen in the 2008 great recession. Gunter explains the topic mathematically rigorously, yet [the book is] accessible. The 35 Excel/VBA models are useful for students and practitioners alike.”RANJAN BHADURI, CEO of Bodhi Research Group Corporation.

  • Released: November 16, 2020
  • Author: Gunter Meissner
  • Rating: 5
  • Publisher: Ebook DIgital Agency
  • Total Page: 366 pages
  • File Size: 3670 KB

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