Multi-Asset Risk Modeling

1st Edition

Techniques for a Global Economy in an Electronic and Algorithmic Trading Era

Print ISBN: 9780124016903
eBook ISBN: 9780124016941
Imprint: Academic Press
Published Date: 16th December 2013
Page Count: 544
75.95 + applicable tax
60.99 + applicable tax
99.95 + applicable tax
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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


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



About The Authors


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


Chapter 2. A Primer on Risk Mathematics


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



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


Chapter 4. Price Volatility


What is Volatility?

Volatility Measures


Market Observations: Empirical Findings

Forecasting Stock Volatility



Chapter 5. Factor Models


Data Limitations

False Relationships

Degrees of Freedom

Factor Models

Types of Factor Models



Chapter 6. Equity Derivatives


Option Contracts

Alternative Option Pricing Models


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© Academic Press 2014
Academic Press
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"…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.", 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