Multi-asset risk modeling : techniques for a global economy in an electronic and algorithmic trading era
著者
書誌事項
Multi-asset risk modeling : techniques for a global economy in an electronic and algorithmic trading era
Academic Press, an imprint of Elsevier, c2014
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
Multi-Asset Risk Modeling describes, in a single volume, 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. Beginning with the fundamentals of risk mathematics and quantitative risk analysis, the book moves on to discuss the laws in standard models that contributed to the 2008 financial crisis and talks about current and future banking regulation. Importantly, it also explores algorithmic trading, which currently receives sparse attention in the literature. By giving coherent recommendations about which statistical models to use for which asset class, this book makes a real contribution to the sciences of portfolio management and risk management.
目次
Introduction to Multi-Asset Risk Modeling - Lessons from the Debt Crisis
A Primer on Risk Mathematics
A Primer on Quantitative Risk Analysis - by Johnathan Mun
Price Volatility
Factor Models
Equity Derivatives
Foreign Exchange Market and Interest Rates
Algorithmic Trading Risk
Risk Hedging Techniques
Rating Credit Risk: Current Practices, Model Design and Applications
A Basic Credit Default Swap Model
Multi-Asset Corporate Restructurings and Valuations
Extreme Value Theory and Application to Market Shocks for Stress Testing and Extreme Value at Risk
Case Study: Ensuring Sustainability of an Institution as a Going Concern: An Approach to Dealing with Black Swan or Tail Risk - by Karamjeet Paul
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