Multi-Asset Risk Modeling

by Glantz; Kissell

• ISBN13: 9780124016903
• ISBN10: 0124016901
• Format: Hardcover
• Copyright: 2013-12-16
• Publisher: Elsevier Science

Summary

This single volume describes 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. With mathematics playing a prominent role, the authors present standard risk-management and asset allocation models and more advanced extensions, discuss the laws in standard models that contributed to the 2008 financial crisis, and talk about current and future banking regulation. Importantly, they also explore algorithmic trading, which currently receives sparse attention in the literature. Their focus on practical issues and their ability to translate difficult risk management material into practice with insights into the difficulties of implementation and techniques for the required parameter estimation set their volume apart from others. By giving coherent recommendations about which statistical models to use for which asset class, they make a real contribution to the sciences of portfolio management and risk management. Simplifies readers' search for information about theoretical and applied elements of financial risk models by covering all asset classes Provides both mathematical theoretical explanations of risk as well as practical examples with empirical data Includes major sections on equity risk modeling, futures and derivatives, credit markets, foreign exchange, and commodities