Multi-Asset Risk Modeling: Techniques for a Global Economy in an Electronic and Algorithmic Trading Era

Overview

This single volume describes the latest and most advanced risk modeling techniques for equities, debt, fixed income, futuresand 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 ...

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Multi-Asset Risk Modeling: Techniques for a Global Economy in an Electronic and Algorithmic Trading Era

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Overview

This single volume describes the latest and most advanced risk modeling techniques for equities, debt, fixed income, futuresand 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, theyalsoexplore algorithmic trading, which currently receives sparse attention in the literature. Their focus on practicalissues 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, theymake a real contribution to the sciences of portfolio management and risk management.

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Editorial Reviews

From the Publisher
"…explains 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….focuses on the application of proper volatility and factor models, optimization techniques, and the evaluation of traditional and nontraditional sources of risk."—ProtoView.com, March 2014

"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, Wirtschaftsuniversität Wien

"Multi-Asset Risk Modelingpresents a comprehensive overview and summary of methods employed in finance. The statistical methods basedon 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, Universität 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, Universitàdegli Studi di Palermo

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Product Details

  • ISBN-13: 9780124016903
  • Publisher: Elsevier Science
  • Publication date: 12/30/2013
  • Pages: 544
  • Product dimensions: 7.78 (w) x 9.56 (h) x 1.28 (d)

Meet the Author

Professor Morton Glantz serves as a financial consultant, educator, and adviser to a broad spectrum of professionals, including corporate financial executives, government ministers, privatization managers, investment and commercial bankers, public accounting firms, members of merger and acquisition teams, strategic planning executives, management consultants, attorneys, and representatives of foreign governments and international banks. Professor Morton Glantz is a principal of Real Consulting and Real Options Valuation, firms specializing in risk consulting, training, certification, and advanced analytical software in the areas of risk quantification, analysis, and management solutions.

As a JP Morgan Chase (heritage bank) senior banker, Professor Glantz built a progressive career path specializing in credit analysis and credit risk management, risk grading systems, valuation models, and professional training. He was instrumental in the reorganization and development of the credit analysis module of the Bank’s Management Training Program-Finance, which at the time was recognized as one of the foremost training programs in the banking industry.

Professor Glantz is on the (adjunct) finance faculty of the Fordham Graduate School of Business. He has appeared in the Harvard University International Directory of Business and Management Scholars and Research, and has earned Fordham University Deans Award for Faculty Excellence on three occasions. He is a Board Member of the International Standards Board, International Institute of Professional Education and Research (IIPER). The IIPER is a global institute with partners and offices around the world, including the United States, Switzerland, Hong Kong, Mexico, Portugal, Singapore, Nigeria, and Malaysia. Professor Glantz is widely published in financial journals and has authored 8 books.

Robert Kissell is an Executive Director responsible for analytics product initiatives within UBS Direct Execution and UBS Portfolio Trading. Prior to joining UBS, he was with JP Morgan where he served as Head of Quantitative Trading Strategies.

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Table of Contents

  1. Introduction to Multi-Asset Risk Modeling – Lessons from the Debt Crisis
  2. A Primer on Risk Mathematics
  3. A Primer on Quantitative Risk Analysis - by Johnathan Mun
  4. Price Volatility
  5. Factor Models
  6. Equity Derivatives
  7. Foreign Exchange Market and Interest Rates
  8. Algorithmic Trading Risk
  9. Risk Hedging Techniques
  10. Rating Credit Risk: Current Practices, Model Design and Applications
  11. A Basic Credit Default Swap Model
  12. Multi-Asset Corporate Restructurings and Valuations
  13. Extreme Value Theory and Application to Market Shocks for Stress Testing and Extreme Value at Risk
  14. 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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