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Morton Glantz and Robert Kissell (Auth.)-Multi-asset Risk Modeling. Techniques f.rar
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本附件包括：- Morton Glantz and Robert Kissell (Auth.)-Multi-asset Risk Modeling. Techniques for a Global Economy in an Electronic and Algorithmic Trading Era-Academic Press (2013).pdf
Book Description[size=0.86em]Publication Date: December 3, 2013
Multi-Asset Risk Modeling describes, in a single volume, the latest and most 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. Beginning with the fundamentals of risk mathematics and quantitative risk analysis, the book moves on to discuss the laws in standard models that contributed to the 2008 financial crisis and talks about current and future banking regulation. Importantly, it also explores algorithmic trading, which currently receives sparse attention in the literature. By giving coherent recommendations about which statistical models to use for which asset class, this book makes a real contribution to the sciences of portfolio management and risk management.
- Covers all asset classes
- Provides mathematical theoretical explanations of risk as well as practical examples with empirical data
- Includes sections on equity risk modeling, futures and derivatives, credit markets, foreign exchange, and commodities
Editorial ReviewsReview"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 Modeling presents a comprehensive overview and summary of methods employed in finance. The statistical methods based on 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, Università degli Studi di Palermo
From the Back CoverThis single volume describes the latest and most 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. 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, they also explore algorithmic trading, which currently receives sparse attention in the literature. Their focus on practical issues 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, they make a real contribution to the sciences of portfolio management and risk management.
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