Correlation Risk Modeling and Management: An Applied Guide Including the Basel III Correlation Framework - With Interactive Correlation Models in Excel/VBA

  • 5h 4m
  • Gunter Meissner
  • John Wiley & Sons (US)
  • 2014

A thorough guide to correlation risk and its growing importance in global financial markets

Ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to 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. This offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk.

  • Offers comprehensive coverage of a topic of increasing importance in the financial world
  • Includes the Basel III correlation framework
  • Features interactive models in Excel/VBA, an accompanying website with further materials, and problems and questions at the end of each chapter

About the Author

Dr. Meissner joined Deutsche Bank in 1990, where he traded interest rate futures, swaps, and options in Frankfurt and New York. He became Head of Product Development in 1994, responsible for originating algorithms for new derivatives products. In 1995/1996 Dr. Meissner became Head of Options at Deutsche Bank Tokyo. From 1997 to 2007, he was Professor of Finance at Hawaii Pacific University. From 2008 to 2013 he was Director of the Master in Financial Engineering program at the Shidler College of Business at the University of Hawaii. The author of numerous published papers on derivatives in international journals, Dr. Meissner also is a frequent speaker at international conferences and seminars and the author of four other books, including The Definitive Guide to CDOs: Application, Pricing, and Risk Management.

In this Book

  • Some Correlation Basics—Properties, Motivation, Terminology
  • Empirical Properties of Correlation—How Do Correlations Behave in the Real World?
  • Statistical Correlation Models—Can We Apply Them to Finance?
  • Financial Correlation Modeling—Bottom-up Approaches
  • Valuing CDOs with the Gaussian Copula—What Went Wrong?
  • The One-Factor Gaussian Copula (OFGC) Model—Too Simplistic?
  • Financial Correlation Models—Top-down Approaches
  • Stochastic Correlation Models
  • Quantifying Market Correlation Risk
  • Quantifying Credit Correlation Risk
  • Hedging Correlation Risk
  • Correlation and Basel II and III
  • The Future of Correlation Modeling