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

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

by Morton Glantz, Robert Kissell
     
 

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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

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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

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)

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