Multi-Asset Risk Modeling

Morton Glantz and Robert Kissell
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Morton Glantz: Lecturer in Finance & Business Economics, Fordham Graduate School of Business, New York, NY, USA
Robert Kissell: Robert Kissell, PhD, is President of Kissell Research Group, a global financial and economic consulting firm specializing in quantitative modeling, statistical analysis, and algorithmic trading. He is also currently an adjunct faculty member of the Gabelli School of Business at Fordham University, and has held several senior leadership positions with prominent bulge bracket Investment Banks.

in Elsevier Monographs from Elsevier, currently edited by Candice Janco

Abstract: 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

Keywords: 4 Sigma; APT; ARCH; Algorithmic Risk; Arbitrage; Arbitrage Pricing Model; Asset Market Model; BASEL III; Balance of Payments; Basel Committee; Best Execution; Beta; Big-Mac Index; Binomial; Binomial Trees; Black Swan; Black-Scholes; Block Trading; Bollerslev; Building Blocks; Business Continuity Plans; CAMELS Bank Rating; CAPM; Call Options; Capital Asset Pricing Model; Cash Flow; Cash Flows; Cauchy; Chi-Square; Commodities Finance; Contingency Programs; Continuous; Corporate Value; Correlated Portfolio; Correlation; Correlation Modeling; Correlations Box-Jenkins; Counterparty; Covariance; Covariance Models; Covered Interest Arbitrage; Credit Default Swap; Credit Derivative Value; Credit Risk; Cross-Sectional Models; Currency Swaps; DCF Method; Daily Volumes; Day of Week Effect; Debt Crisis; Default Probability; Derivatives; Deterministic; Discrete; Discrete Optimization; Distributional Fitting; Dollar Hedge Ratio; Dynamic Optimization; EBITDA; EWMA; Economic Capital; Efficient Portfolio Allocation; Eigenvalue-Eigenvector Decomposition; Engel; Exchange Rate Determinants; Expected Recovery Rate; Exponential; Exponential Weighted Moving Average; Exposure; External Ratings; Extreme Tail Financial Risk; Extreme Value; Extreme Value Functions; Facility Risk; Factor Exposure; Factor Models; Fat Tail; Faulted Risk Models; Fixed Rates; Flash Crash; Forecast Horizon; Forecast Statistics; Forecasting; Forecasting Daily Volumes; Forecasting Monthly Volumes; Foreign Exchange; Forwards; Frechet; Fundamental Analysis; Fundamental Models; Futures; Futures Rate; GARCH; GARCH Volatility; GUMBEL; Gamma; Geometric; Going Concern; Going Concern Sustainability; Gumbel; Hedge Ratio; Heteroscedasticity; Histogram; Hypergeometric; Idiosyncratic Risk; Input Parameters; Interest Rate Parity; Interest Rate Swaps; Interest Rates; Internal Ratings; Intraday Trading Patterns; Jump-Diffusion Stochastic Process; Kolmogorov-Smirnov; Kurtosis; LIBOR; Lagrangian Multipliers; Law of One Price; Left Tail; Linear Regression; Liquidity Reserves; Liquidity Risk; Log-Linear Regressions; Log-Normal; Logistic; Logit; Marginal Contribution to Risk; Market Impact Models; Market Shocks; Market Spread; Maximum Likelihood Estimation; Mean; Model Driven Ratings; Modeling Risk; Monte Carlo; Monte Carlo Simulation; Multi-Asset Restructuring; Multidimensional Simulation; Non-Linear Regression; Normal; Normal Distribution; Normality; Object Finance; Obligor Risk; Operational Risk; Optimal Hedge Ratio; Optimization; Optimization Procedures; Optimized Simulation; Option Pricing Model; Options; Ordinary Least Squares; Parameter Estimation Error; Pareto; Poisson; Principal Component Analysis; Proactive Quantification; Probability Distributions; Probable Maximum Loss; Probit; Project Finance; Purchasing Power Parity; Put Options; Q-Q Quartile Plots; Random Number; Rayleigh Distribution; Real Estate Risk; Reference Credit; Regression; Residual Value; Right Tail; Risk Contribution; Risk Governance; Risk Management; Risk Models; Risk Portfolios; Risk Simulator; Sensitivity; Simplistic Investment Models; Simulation; Singular Value Decomposition; Skewness; Specialized Lending; Spot Rate; Spreads; Standardized Approach; Starbucks Index; Static Covariance Method; Static Forecasting; Stochastic; Stochastic Optimization; Stochastic Process; Stochastic Spreadsheet; Stress Testing; Students t-distribution; Sustainability Management; Swap Contract; Swaps; Systematic Risk; Systemic Shocks; Systemic Stress; T-Copula; Term Structure; Time Series Analysis; Time Value of Money; Tracking Error; Trading Risk; Triangular; Triangular Arbitrage; Type II Statistical Error; Uncertainty; Uncovered Interest Arbitrage; Uniform; VIX Index; VaR; Value Drivers; Variable Rates; Variance; Volatility; Weibull (search for similar items in EconPapers)
Date: 2013 Originally published 2013-12-16.
Edition: 1
ISBN: 978-0-12-401690-3
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Citations: View citations in EconPapers (10)

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