Multi-Asset Risk Modeling, 1st Edition

  • Published By:
  • ISBN-10: 0124016944
  • ISBN-13: 9780124016941
  • DDC: 658.155
  • Grade Level Range: College Freshman - College Senior
  • 544 Pages | eBook
  • Original Copyright 2013 | Published/Released June 2014
  • This publication's content originally published in print form: 2013

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Multi-Asset Risk Modeling describes, in a single volume, the latest and most 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. Beginning with the fundamentals of risk mathematics and quantitative risk analysis, the book moves on to discuss the laws in standard models that contributed to the 2008 financial crisis and talks about current and future banking regulation. Importantly, it also explores algorithmic trading, which currently receives sparse attention in the literature. By giving coherent recommendations about which statistical models to use for which asset class, this book makes a real contribution to the sciences of portfolio management and risk management.

Table of Contents

Front Cover.
Half Title Page.
Title Page.
Copyright Page.
Dedication Page.
About the Authors.
1: Introduction to Multi-Asset Risk Modeling—Lessons from the Debt Crisis.
2: A Primer on Risk Mathematics.
3: A Primer on Quantitative Risk Analysis.
4: Price Volatility.
5: Factor Models.
6: Equity Derivatives.
7: Foreign Exchange Market and Interest Rates.
8: Algorithmic Trading Risk.
9: Risk-Hedging Techniques.
10: Rating Credit Risk: Current Practices, Model Design, and Applications.
11: A Basic Credit Default Swap Model.
12: Multi-Asset Corporate Restructurings and Valuations1.
13: Extreme Value Theory and Application to Market Shocks for Stress Testing and Extreme Value at Risk.
14: Ensuring Sustainability of an Institution as a Going Concern: An Approach to Dealing with Black Swan or Tail Risk.