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Multi-Asset Risk Modeling
Company: Academic Press
Year Of Publication: 2013
Month Of Publication: December
Resource Link: Click here to open
Pages: 544
Download Count: 0
View Count: 1668
Comment Num: 0
Language: English
Source: book
Who Can Read: Free
Date: 12-27-2013
Publisher: Administrator
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.
Author(s)
Glantz, Morton Sign in to follow this author
Kissell, Robert Sign in to follow this author
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