Correlation Risk Modeling and Management, + Website: An Applied Guide including the Basel III Correlation Framework - With Interactive Models in Excel / VBA (Wiley Finance)
The risk of financial loss due to unfavorable movements in the correlation between two or more assets, correlation risk is a critical factor in many areas of finance, including trading, investing, portfolio management and regulation. As was vividly demonstrated by the 2007–2009 global financial crisis, correlations also play a vital role in systemic crises, where sudden increases in correlations can lead to devastating losses.As a consequence, over the past several years, correlation risk has become a major focus in the risk management departments of most major financial institutions. In addition, correlation is also the centerpiece of the Basel Accords to derive value at risk (VAR), credit value at risk, (CVAR) and credit value adjustment (CVA).Written by a leading international authority in the field,Correlation Risk Modeling and Managementis the first hands-on guide to this increasingly crucial topic. Designed to function as both a working resource for an array of finance professionals, including risk managers, analysts, traders, brokers, compliance officers and controllers, as well as a key student text/study guide, this book:Provides comprehensive, practical coverage of both traditional and new methods and modelsIncludes in-depth coverage of the Basel III correlation risk management frameworkExplores new correlation risk measures of the Basel III accord, including the Basel's credit risk valuation with correlated wrong-way risk and correlated double defaults.Contains interactive correlation modeling software, in Excel and VBAFeatures an accompanying website offering a gold mine of additional materialsSupplies chapter-end problems and questions that let you test and reinforce your understandingCorrelation Risk Management and Modelingis an indispensable resource for anyone with exposure to financial correlations and financial correlation risk. It also is an excellent graduate-level text and a valuable study guide for those preparing to sit for their CFA, PRMIA, CAIA exams or other related certification tests.