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

Gunter Meissner

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 regulations. This

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Year of publication:	c2014 ; Online-Ausg.
Authors:	Meissner, Gunter
Publisher:	New York : John Wiley & Sons, Incorporated
Subject:	Korrelation \| Correlation \| Basler Akkord \| Basel Accord \| Portfolio-Management \| Portfolio selection \| Risikomaß \| Risk measure \| Risikomanagement \| Risk management \| Kreditrisiko \| Credit risk \| Bankrisiko \| Bank risk \| ARCH-Modell \| ARCH model
Description of contents:	Table of Contents [gbv.de]

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Extent:	Online-Ressource (1 online resource.)
Series:	Wiley Finance Series
Type of publication:	Book / Working Paper
Language:	English
Notes:	Includes bibliographical references and index. - Description based on online resource; title from PDF title page (Wiley, viewed Jan. 6, 2014) 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
ISBN:	978-1-306-25470-0 ; 1-306-25470-1 ; 978-1-118-79687-0 ; 978-1-118-79690-0 ; 978-1-118-79689-4 ; 978-1-118-79687-0 ; 978-1-118-79689-4 ; 978-1-118-79690-0
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014472927