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.
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Undergraduate and graduate students, professors, and professionals working with financial risk management techniques who want reference information about theoretical models and applications.


Book information

  • Published: December 2013
  • ISBN: 978-0-12-401690-3


"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, WirtschaftsuniversitĂ€t 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, UniversitĂ€t 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, UniversitĂ  degli Studi di Palermo

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