Multi-Asset Risk Modeling
Techniques for a Global Economy in an Electronic and Algorithmic Trading Era
- Morton Glantz, Lecturer in Finance & Business Economics, Fordham Graduate School of Business, New York, NY, USA
- Robert Kissell, Executive Director for analytics product initiatives within UBS Direct Execution and UBS Portfolio Trading
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.
Undergraduate and graduate students, professors, and professionals working with financial risk management techniques who want reference information about theoretical models and applications.