Description

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.

Key Features

  • 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

Readership

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

Table of Contents

Dedication

Preface

About The Authors

Acknowledgements

Chapter 1. Introduction to Multi-Asset Risk Modeling—Lessons from the Debt Crisis

Types of Risk

Faulted Risk Models

Financial Models Breaking Down in the Equity Markets

Risk Models Breaking Down

References

Chapter 2. A Primer on Risk Mathematics

Introduction

Regression Analysis

Regression Analysis Statistics

Unbiased Estimators

Matrix Algebra Techniques

Estimate Parameters

Linear Regression: Graphic Example

Log-Linear Regression Model

Log-Transformation: Graphic Example

Non-Linear Regression Model

Probability Models

Probability Distributions

Extreme Value Functions

Descriptive Statistics

Probability Distribution Functions

Continuous Distribution Functions

Extreme Value Functions

Discrete Distributions

Endnotes

References

Chapter 3. A Primer on Quantitative Risk Analysis

A Brief History of Risk: What exactly is Risk?

The Basics of Risk

The Nature of Risk and Return

Uncertainty Versus Risk

Risk Simulation Applications

Exercise 1: Basic Simulation Model

Exercise 2: Correlation Effects Model

Reference

Chapter 4. Price Volatility

Introduction

What is Volatility?

Volatility Measures

Definitions

Market Observations: Empirical Findings

Forecasting Stock Volatility

Conclusions

References

Chapter 5. Factor Models

Introduction

Data Limitations

False Relationships

Degrees of Freedom

Factor Models

Types of Factor Models

Conclusion

References

Chapter 6. Equity Derivatives

Introduction

Option Contracts

Alternative Option Pricing Models

Details

No. of pages:
544
Language:
English
Copyright:
© 2014
Published:
Imprint:
Academic Press
Electronic ISBN:
9780124016941
Print ISBN:
9780124016903

About the authors

Morton Glantz

Professor Morton Glantz serves as a financial consultant, educator, and adviser to a broad spectrum of professionals, including corporate financial executives, government ministers, privatization managers, investment and commercial bankers, public accounting firms, members of merger and acquisition teams, strategic planning executives, management consultants, attorneys, and representatives of foreign governments and international banks. Professor Morton Glantz is a principal of Real Consulting and Real Options Valuation, firms specializing in risk consulting, training, certification, and advanced analytical software in the areas of risk quantification, analysis, and management solutions. As a JP Morgan Chase (heritage bank) senior banker, Professor Glantz built a progressive career path specializing in credit analysis and credit risk management, risk grading systems, valuation models, and professional training. He was instrumental in the reorganization and development of the credit analysis module of the Bank’s Management Training Program—Finance, which at the time was recognized as one of the foremost training programs in the banking industry. Professor Glantz is on the (adjunct) finance faculty of the Fordham Graduate School of Business. He has appeared in the Harvard University International Directory of Business and Management Scholars and Research, and has earned Fordham University Deans Award for Faculty Excellence on three occasions. He is a Board Member of the International Standards Board, International Institute of Professional Education and Research (IIPER). The IIPER is a global institute with partners and offices around the world, including the United States, Switzerland, Hong Kong, Mexico, Portugal, Singapore, Nigeria, and Malaysia. Professor Glantz is widely published in financial journals and has authored 8 books.

Robert Kissell

Robert Kissell is an Executive Director responsible for analytics product initiatives within UBS Direct Execution and UBS Portfolio Trading. Prior to joining UBS, he was with JP Morgan where he served as Head of Quantitative Trading Strategies.

Reviews

"…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 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