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Correlation risk modeling and management: an aplied guide including the basel III correlation framework with interactive models in excel IVBA

By: Material type: Computer fileComputer fileOriginal language: English Series: Wiley Finance SeriesPublication details: Solaris South Tower ; John Wiley and Son ; 2014Description: 330 pISBN:
  • 978-1-118-79687-0
Subject(s): LOC classification:
  • HG/106/M45/2014
Online resources:
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Contiene: 1. Some correlation basics: properties, motivation, terminology.- 2. Empirical properties of correlation: how do correlations vehave in the real world?.- 3. Statistical correlation models - can we apply them to finance?.- 4. Financial correlation modeling - bottom - up approaches.- 5. Valuiiiiing CDOs with the gaussian copula - what went wrong?.- 6. The one - factor gaussian copula (OFGC) model - too simplistic?.- 7. Financial correlation models - top down approaches.- 8. Stochastic correlation models.- 9. Quantifying market correlation risk.- 10. Quantifying credit correlation risk.- 11. hedging correlation risk.- 12. Correlation and Basel II and III.- 13. The future of correlation modeling.

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