Multi-Asset Risk Modeling

Techniques for a Global Economy in an Electronic and Algorithmic Trading Era

By: Robert Kissell, Morton Glantz

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Hardcover | 16 December 2013 | Edition Number 1

At a Glance

Hardcover
544 Pages

Dimensions(cm)
24.13 x 19.68 x 3.18

Hardcover

RRP $155.95

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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

Industry Reviews

"The financial crisis has shown that measurement and control of financial risks is a crucial task for a financial institution that cannot be delegated to a few specialists in the quant department. This very readable book provides a good introduction to many hot issues in financial risk management at a level accessible to the non-specialist." --Ruediger Frey, Wirtschaftsuniversitat Wien "Multi-Asset Risk Modeling presents a comprehensive overview and summary of methods employed in finance. The statistical methods based on real-world examples provide a practical introduction for students, and the book is a valuable source for financial engineering and risk management tools as well." --Alois Pichler, Universitat Wien "The text offers an up-to-date and practical coverage of a wide range of topics in risk modeling and risk management, representing a good source for both students and practitioners." --Giorgio Fazio, Universita degli Studi di Palermo

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