|
|
|
|
| LEADER |
00000cam a2200000 a 4500 |
| 001 |
ocn866737234 |
| 003 |
OCoLC |
| 005 |
20240909213021.0 |
| 006 |
m o d |
| 007 |
cr ||||||||||| |
| 008 |
131224s2014 si ob 001 0 eng d |
| 040 |
|
|
|a YDXCP
|b eng
|e pn
|c YDXCP
|d DG1
|d N$T
|d E7B
|d OCLCQ
|d CAUOI
|d B24X7
|d OCLCQ
|d COO
|d OCLCO
|d OCLCQ
|d DEBBG
|d OCLCQ
|d DG1
|d LIP
|d NJR
|d IDEBK
|d EBLCP
|d MHW
|d DEBSZ
|d ZCU
|d MERUC
|d OCLCQ
|d OCLCF
|d ICG
|d OCLCQ
|d WYU
|d RECBK
|d OCLCQ
|d DKC
|d OCLCQ
|d VLY
|d TUHNV
|d OCLCO
|d OCLCQ
|d OCLCO
|d OCLCQ
|d OCLCO
|d OCLCL
|d UEJ
|d OCLCQ
|
| 019 |
|
|
|a 866737572
|a 866838940
|a 872647559
|
| 020 |
|
|
|a 9781118809204
|q (electronic bk.)
|
| 020 |
|
|
|a 1118809203
|q (electronic bk.)
|
| 020 |
|
|
|a 1118796896
|q (electronic bk.)
|
| 020 |
|
|
|a 9781118796894
|q (electronic bk.)
|
| 020 |
|
|
|a 111879687X
|q (electronic bk.)
|
| 020 |
|
|
|a 9781118796870
|q (electronic bk.)
|
| 020 |
|
|
|a 9781118796900
|
| 020 |
|
|
|a 111879690X
|
| 020 |
|
|
|a 9781306254700
|
| 020 |
|
|
|a 1306254701
|
| 035 |
|
|
|a (OCoLC)866737234
|z (OCoLC)866737572
|z (OCoLC)866838940
|z (OCoLC)872647559
|
| 037 |
|
|
|a 556721
|b MIL
|
| 050 |
|
4 |
|a HG106
|
| 072 |
|
7 |
|a BUS
|x 082000
|2 bisacsh
|
| 072 |
|
7 |
|a BUS
|x 041000
|2 bisacsh
|
| 072 |
|
7 |
|a BUS
|x 042000
|2 bisacsh
|
| 072 |
|
7 |
|a BUS
|x 085000
|2 bisacsh
|
| 049 |
|
|
|a HCDD
|
| 100 |
1 |
|
|a Meissner, Gunter,
|d 1957-
|1 https://id.oclc.org/worldcat/entity/E39PCjJRp83wt6j9XFJgkR7Mbm
|
| 245 |
1 |
0 |
|a Correlation risk modeling and management :
|b an applied guide including the Basel III correlation framework-- with interactive models in Excel/VBA /
|c Gunter Meissner.
|
| 260 |
|
|
|a Singapore :
|b Wiley,
|c ©2014.
|
| 300 |
|
|
|a 1 online resource
|
| 336 |
|
|
|a text
|b txt
|2 rdacontent
|
| 337 |
|
|
|a computer
|b c
|2 rdamedia
|
| 338 |
|
|
|a online resource
|b cr
|2 rdacarrier
|
| 504 |
|
|
|a Includes bibliographical references and index.
|
| 588 |
0 |
|
|a Online resource; title from PDF title page (Wiley, viewed January 6, 2014).
|
| 520 |
|
|
|a The first rigorous guide to cover the topic of correlation risk. A relatively overlooked type of risk until it caused major unexpected losses during the financial crisis of 2007 through 2009, correlation risk has become a major focus of the risk management departments in major financial institutions, particularly since Basel III specifically addressed correlation risk with new regulations. The book offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk. It features interactive models in Excel/VBA, an accompanying website with further materials, and problems and questions at the end of each chapter. The guide is ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications. --
|c Edited summary from book.
|
| 505 |
0 |
|
|a Correlation Risk Modeling and Management: An Applied Guide Including the Basel III Correlation Framework-with Interactive Correlation Models in Excel®/VBA; Contents; Preface; Acknowledgments; About the Author; Chapter 1: Some Correlation Basics: Properties, Motivation, Terminology; 1.1 What Are Financial Correlations?; 1.2 What Is Financial Correlation Risk?; 1.3 Motivation: Correlations and Correlation Risk Are Everywhere in Finance; 1.3.1 Investments and Correlation; 1.3.2 Trading and Correlation; 1.3.3 Risk Management and Correlation
|
| 505 |
8 |
|
|a 1.3.4 The Global Financial Crisis of 2007 to 2009 and Correlation1.3.5 Regulation and Correlation; 1.4 How Does Correlation Risk Fit into the Broader Picture of Risks in Finance?; 1.4.1 Correlation Risk and Market Risk; 1.4.2 Correlation Risk and Credit Risk; 1.4.3 Correlation Risk and Systemic Risk; 1.4.4 Correlation Risk and Concentration Risk; 1.5 A Word on Terminology; 1.6 Summary; Appendix 1A: Dependence and Correlation; Dependence; Correlation; Independence and Uncorrelatedness; Appendix 1B: On Percentage and Logarithmic Changes; Practice Questions and Problems
|
| 505 |
8 |
|
|a Practice Questions and ProblemsReferences and Suggested Readings; Chapter 3: Statistical Correlation Models-Can We Apply Them to Finance?; 3.1 A Word on Financial Models; 3.1.1 The Financial Model Itself; 3.1.2 The Calibration of the Model; 3.1.3 Mindfulness about Models; 3.2 Statistical Correlation Measures; 3.2.1 The Pearson Correlation Approach and Its Limitations for Finance; 3.2.2 Spearman's Rank Correlation; 3.2.3 Kendall's T; 3.3 Should We Apply Spearman's Rank Correlation and Kendall's T in Finance?; 3.4 Summary; Practice Questions and Problems; References and Suggested Readings
|
| 505 |
8 |
|
|a Chapter 4: Financial Correlation Modeling-Bottom-Up Approaches4.1 Correlating Brownian Motions (Heston 1993); 4.1.1 Applications of the Heston Model; 4.2 The Binomial CorrelationMeasure; 4.2.1 Application of the Binomial Correlation Measure; 4.3 Copula Correlations; 4.3.1 The Gaussian Copula; 4.3.2 Simulating the Correlated Default Time for Multiple Assets; 4.3.3 Finding the Correlated Default Time in a Continuous Time Framework Using Survival Probabilities; 4.3.4 Copula Applications; 4.3.5 Limitations of the Gaussian Copula; 4.4 Contagion Correlation Models; 4.5 Summary
|
| 650 |
|
0 |
|a Financial risk
|x Mathematical models.
|
| 650 |
|
0 |
|a Correlation (Statistics)
|
| 650 |
|
7 |
|a correlation.
|2 aat
|
| 650 |
|
7 |
|a BUSINESS & ECONOMICS
|x Industrial Management.
|2 bisacsh
|
| 650 |
|
7 |
|a BUSINESS & ECONOMICS
|x Management.
|2 bisacsh
|
| 650 |
|
7 |
|a BUSINESS & ECONOMICS
|x Management Science.
|2 bisacsh
|
| 650 |
|
7 |
|a BUSINESS & ECONOMICS
|x Organizational Behavior.
|2 bisacsh
|
| 650 |
|
7 |
|a Correlation (Statistics)
|2 fast
|
| 758 |
|
|
|i has work:
|a Correlation risk modeling and management (Text)
|1 https://id.oclc.org/worldcat/entity/E39PCG4CQRygFptGPXw48JqhHC
|4 https://id.oclc.org/worldcat/ontology/hasWork
|
| 776 |
0 |
8 |
|i Print version:
|a Meissner, Gunter.
|t Correlation risk modeling and management : an applied guiincluding the basel III correlation framework-with interactive models in excel/vba.
|d Singapore : John Wiley & Sons, ©2014
|h xix, 330 pages
|k Wiley finance series.
|z 9781118796900
|
| 856 |
4 |
0 |
|u https://ebookcentral.proquest.com/lib/holycrosscollege-ebooks/detail.action?docID=1584084
|y Click for online access
|
| 903 |
|
|
|a EBC-AC
|
| 994 |
|
|
|a 92
|b HCD
|