A Guide to Behavioural Modelling for ALM

A Guide to Behavioural Modelling for ALM

Credit Modelling (2nd edition)

Credit Modelling (2nd edition)

Correlation Risk Management and Modelling (2nd edition)

£85.00

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.

 

Availability: In stock
ISBN
9781782724056
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.

More Information
ISBN 9781782724056
Navision code MMEI
Publication date 11 Feb 2019
Size 230mm x 280mm
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Gunter Meissner

After a lectureship in mathematics and statistics at the Economic Academy Kiel, Gunter Meissner PhD joined Deutsche Bank in 1990, trading interest rate futures, swaps and options in Frankfurt and New York. He became Head of Product Development in 1994, responsible for originating algorithms for new derivatives products, which at the time were Lookback Options, Multi-asset Options, Quanto Options, Average Options, Index Amortizing Swaps, and Bermuda Swaptions. In 1995/1996 Gunter Meissner was Head of Options at Deutsche Bank Tokyo. From 1997 to 2007, Gunter was Professor of Finance and Hawaii Pacific University. Currently, he is President of Derivatives Software, Adjunct Professor of Mathematical Finance at NYU and Director of the Master in Financial Engineering program at the Shidler College of Business at the University of Hawaii. Gunter Meissner has published numerous papers on derivatives in international journals. He is author of five books, including his 2014 book, Correlation Risk Modeling and Management - An Applied Guide including the Basel III Correlation Framework. He can be reached at [email protected].

1 Correlation Basics: Definitions, Applications, and Terminology

2 Empirical Properties of Correlation: How do Correlations Behave in the real World?

3 The Pearson Correlation Model – Work of the Devil?

4 Cointegration – A Superior Concept to Correlation?

5 Financial Correlation Modelling – Bottom-up Approaches

6 Valuing CDOs with the Gaussian Copula – What Went Wrong?

7 The One-Factor Gaussian Copula Model –Too Simplistic?

8 Financial Correlation Models – Top-Down Approaches

9 Stochastic Correlation Models

10 Quantifying Market Correlation Risk

11 Quantifying Credit Correlation Risk

12 Hedging Correlation Risk

13 Correlation Trading Strategies – Opportunities and Limitations

14 Credit Value at Risk under Basel III – Too Simplistic?

15 Basel III and XVAs

16 Fundamental Review of the Trading Book

17 The Future of Correlation Modelling