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Risk Books Correlation Risk Management and Modelling 2nd edition

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Description

Gunter Meissner returns with a fully updated second edition of Correlation Risk, the first book to address financial correlation risk in detail. 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 gives the reader an overview of the main correlation models: Statistical; Deterministic financial (bottom-up & top-down models); and Stochastic financial. 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.

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
11 February 2019
Listed Since
11 February 2019

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