LEADER 00000nam a22005053i 4500 
001    EBC1584084 
003    MiAaPQ 
005    20200713055256.0 
006    m     o  d |       
007    cr cnu|||||||| 
008    200713s2014    xx      o     ||||0 eng d 
020    9781118796894|q(electronic bk.) 
020    |z9781118796900 
035    (MiAaPQ)EBC1584084 
035    (Au-PeEL)EBL1584084 
035    (CaPaEBR)ebr10826695 
035    (CaONFJC)MIL556721 
035    (OCoLC)866838940 
040    MiAaPQ|beng|erda|epn|cMiAaPQ|dMiAaPQ 
050  4 T174.5.M457 2014eb 
082 0  332 
100 1  Meissner, Gunter 
245 10 Correlation Risk Modeling and Management :|bAn Applied 
       Guide Including the Basel III Correlation Framework - with
       Interactive Models in Excel / VBA 
250    1st ed 
264  1 New York :|bJohn Wiley & Sons, Incorporated,|c2014 
264  4 |c©2014 
300    1 online resource (352 pages) 
336    text|btxt|2rdacontent 
337    computer|bc|2rdamedia 
338    online resource|bcr|2rdacarrier 
490 1  Wiley Finance Ser 
505 0  Correlation Risk Modeling and Management: An Applied Guide
       Including the Basel III Correlation Framework-with 
       Interactive Correlation Models in Excel®/VBA -- Contents -
       - Preface -- Acknowledgments -- About the Author -- 
       Chapter 1: Some Correlation Basics: Properties, Motivation,
       Terminology -- 1.1 What Are Financial Correlations? -- 1.2
       What Is Financial Correlation Risk? -- 1.3 Motivation: 
       Correlations and Correlation Risk Are Everywhere in 
       Finance -- 1.3.1 Investments and Correlation -- 1.3.2 
       Trading and Correlation -- 1.3.3 Risk Management and 
       Correlation -- 1.3.4 The Global Financial Crisis of 2007 
       to 2009 and Correlation -- 1.3.5 Regulation and 
       Correlation -- 1.4 How Does Correlation Risk Fit into the 
       Broader Picture of Risks in Finance? -- 1.4.1 Correlation 
       Risk and Market Risk -- 1.4.2 Correlation Risk and Credit 
       Risk -- 1.4.3 Correlation Risk and Systemic Risk -- 1.4.4 
       Correlation Risk and Concentration Risk -- 1.5 A Word on 
       Terminology -- 1.6 Summary -- Appendix 1A: Dependence and 
       Correlation -- Dependence -- Correlation -- Independence 
       and Uncorrelatedness -- Appendix 1B: On Percentage and 
       Logarithmic Changes -- Practice Questions and Problems -- 
       References and Suggested Readings -- Chapter 2: Empirical 
       Properties of Correlation: How Do Correlations Behave in 
       the Real World? -- 2.1 How Do Equity Correlations Behave 
       in a Recession, Normal Economic Period, or Strong 
       Expansion? -- 2.2 Do Equity Correlations Exhibit Mean 
       Reversion? -- 2.2.1 How Can We Quantify Mean Reversion? --
       2.3 Do Equity Correlations Exhibit Autocorrelation? -- 2.4
       How Are Equity Correlations Distributed? -- 2.5 Is Equity 
       Correlation Volatility an Indicator for Future Recessions?
       -- 2.6 Properties of Bond Correlations and Default 
       Probability Correlations -- 2.7 Summary -- Practice 
       Questions and Problems -- References and Suggested 
       Readings 
505 8  Chapter 3: Statistical Correlation Models-Can We Apply 
       Them to Finance? -- 3.1 A Word on Financial Models -- 
       3.1.1 The Financial Model Itself -- 3.1.2 The Calibration 
       of the Model -- 3.1.3 Mindfulness about Models -- 3.2 
       Statistical Correlation Measures -- 3.2.1 The Pearson 
       Correlation Approach and Its Limitations for Finance -- 
       3.2.2 Spearman's Rank Correlation -- 3.2.3 Kendall's T -- 
       3.3 Should We Apply Spearman's Rank Correlation and 
       Kendall's T in Finance? -- 3.4 Summary -- Practice 
       Questions and Problems -- References and Suggested 
       Readings -- Chapter 4: Financial Correlation Modeling-
       Bottom-Up Approaches -- 4.1 Correlating Brownian Motions 
       (Heston 1993) -- 4.1.1 Applications of the Heston Model --
       4.2 The Binomial CorrelationMeasure -- 4.2.1 Application 
       of the Binomial Correlation Measure -- 4.3 Copula 
       Correlations -- 4.3.1 The Gaussian Copula -- 4.3.2 
       Simulating the Correlated Default Time for Multiple Assets
       -- 4.3.3 Finding the Correlated Default Time in a 
       Continuous Time Framework Using Survival Probabilities -- 
       4.3.4 Copula Applications -- 4.3.5 Limitations of the 
       Gaussian Copula -- 4.4 Contagion Correlation Models -- 4.5
       Summary -- Appendix 4A: Cholesky Decomposition -- Example:
       Cholesky Decomposition for Three Assets -- Appendix 4B: A 
       Short Proof of the Gaussian Default Time Copula -- 
       Practice Questions and Problems -- References and 
       Suggested Readings -- Chapter 5: Valuing CDOs with the 
       Gaussian Copula-What Went Wrong? -- 5.1 CDO Basics-What Is
       a CDO? Why CDOs? Types of CDOs -- 5.1.1 What Is a CDO? -- 
       5.1.2 Why CDOs? -- 5.1.3 Types of CDOs -- 5.2 Valuing CDOs
       -- 5.2.1 Deriving the Default Probability for Each Asset 
       in a CDO -- 5.2.2 Deriving the Default Correlation of the 
       Assets in a CDO -- 5.2.3 Recovery Rate -- 5.3 Conclusion: 
       The Gaussian Copula and CDOs-What Went Wrong? -- 5.3.1 
       Complexity of CDOs 
505 8  5.3.2 The Gaussian Copula Model to Value CDOs -- 5.4 
       Summary -- Practice Questions and Problems -- References 
       and Suggested Readings -- Chapter 6: The One-Factor 
       Gaussian Copula (OFGC) Model-Too Simplistic? -- 6.1 The 
       Original One-Factor Gaussian Copula (OFGC) Model -- 6.2 
       Valuing Tranches of a CDO with the OFGC -- 6.2.1 
       Randomness in the OFGC Model -- 6.3 The Correlation 
       Concept in the OFGC Model -- 6.3.1 The Loss Distribution 
       of the OFGC Model -- 6.3.2 The Tranche Spread-Correlation 
       Relationship -- 6.4 The Relationship between the OFGC and 
       the Standard Copula -- 6.5 Extensions of the OFGC -- 6.5.1
       Further Extensions of the OFGC Model: Hybrid CID-Contagion
       Modeling -- 6.6 Conclusion-Is the OFGC Too Simplistic to 
       Evaluate Credit Risk in Portfolios? -- 6.6.1 Benefits of 
       the OFGC Model -- 6.6.2 Limitations of the OFGC Model -- 
       6.7 Summary -- Practice Questions and Problems -- 
       References and Suggested Readings -- Chapter 7: Financial 
       Correlation Models-Top-Down Approaches -- 7.1 Vasicek's 
       1987 One-Factor Gaussian Copula (OFGC) Model Revisited -- 
       7.2 Markov Chain Models -- 7.2.1 Inducing Correlation via 
       Transition Rate Volatilities -- 7.2.2 Inducing Correlation
       via Stochastic Time Change -- 7.3 Contagion Default 
       Modeling in Top-Down Models -- 7.4 Summary -- Practice 
       Questions and Problems -- References and Suggested 
       Readings -- Chapter 8: Stochastic Correlation Models -- 
       8.1 What Is a Stochastic Process? -- 8.2 Sampling 
       Correlation from a Distribution (Hull and White 2010) -- 
       8.3 Dynamic Conditional Correlations (DCCs) (Engle 2002) -
       - 8.4 Stochastic Correlation-Standard Models -- 8.4.1 The 
       Geometric Brownian Motion (GBM) -- 8.4.2 The Vasicek 1977 
       Model -- 8.4.3 The Bounded Jacobi Process -- 8.5 Extending
       the Heston Model with Stochastic Correlation (Buraschi et 
       al. 2010 -- Da Fonseca et al. 2008) 
505 8  8.5.1 Critical Appraisal of the Buraschi et al. (2010) and
       Da Fonseca et al. (2008) Model -- 8.6 Stochastic 
       Correlation, Stochastic Volatility, and Asset Modeling (Lu
       and Meissner 2012) -- 8.6.1 Asset Modeling -- 8.7 
       Conclusion: Should We Model Financial Correlations with a 
       Stochastic Process? -- 8.8 Summary -- Practice Questions 
       and Problems -- References and Suggested Readings -- 
       Chapter 9: Quantifying Market Correlation Risk -- 9.1 The 
       Correlation Risk Parameters Cora and Gora -- 9.2 Examples 
       of Cora in Financial Practice -- 9.2.1 Option Vanna -- 
       9.2.2 Option Cora and Gora -- 9.3 Cora and Gora in 
       Investments -- 9.4 Cora in Market Risk Management -- 9.4.1
       Gap-Cora -- 9.5 Gora in Market Risk Management -- 9.6 
       Summary -- Practice Questions and Problems -- References 
       and Suggested Readings -- Chapter 10: Quantifying Credit 
       Correlation Risk -- 10.1 Credit Correlation Risk in a CDS 
       -- 10.2 Pricing CDSs, Including Reference Entity-
       Counterparty Credit Correlation -- 10.2.1 The Model -- 
       10.3 Pricing CDSs, Including the Credit Correlation of All
       Three Entities -- 10.3.1 The Model -- 10.3.2 Cora for CDSs
       -- 10.3.3 Gora for CDSs -- 10.4 Correlation Risk in a 
       Collateralized Debt Obligation (CDO) -- 10.4.1 Types of 
       Risk in a CDO -- 10.4.2 Cora of a CDO -- 10.4.3 Gora of a 
       CDO -- 10.5 Summary -- Practice Questions and Problems -- 
       References and Suggested Readings -- Chapter 11: Hedging 
       Correlation Risk -- 11.1 What Is Hedging? -- 11.2 Why Is 
       Hedging Financial Correlations Challenging? -- 11.3 Two 
       Examples to Hedge Correlation Risk -- 11.3.1 Hedging CDS 
       Counterparty Risk with a Correlation-Dependent Option -- 
       11.3.2 Hedging VaR Correlation Risk with a Correlation 
       Swap -- 11.4 When to Use Options and When to Use Futures 
       to Hedge -- 11.5 Summary -- Practice Questions and 
       Problems -- References and Suggested Readings -- Chapter 
       12: Correlation and Basel II and III 
505 8  12.1 What Are the Basel I, II, and III Accords? Why Do 
       Most Sovereigns Implement The Accords? -- 12.2 Basel II 
       and III's Credit Value at Risk (CVaR) Approach -- 12.2.1 
       Properties of Equation (12.7) -- 12.3 Basel II's Required 
       Capital (RC) for Credit Risk -- 12.3.1 The Default 
       Probability-Default Correlation Relationship -- 12.4 
       Credit Value Adjustment (CVA) Approach without Wrong-Way 
       Risk (WWR) in The Basel Accord -- 12.5 Credit Value 
       Adjustment (CVA) with Wrong-Way Risk in the Basel Accord -
       - 12.5.1 How Do Basel II and III Quantify Wrong-Way Risk? 
       -- 12.6 How Do the Basel Accords Treat Double Defaults? --
       12.6.1 Substitution Approach -- 12.6.2 Double Default 
       Approach -- 12.7 Debt Value Adjustment (DVA): If Something
       Sounds Too Good to Be True . . . -- 12.8 Funding Value 
       Adjustment (FVA) -- 12.9 Summary -- Practice Questions and
       Problems -- References and Suggested Readings -- Chapter 
       13: The Future of Correlation Modeling -- 13.1 Numerical 
       Finance: Solving Financial Problems Numerically with the 
       Help of Graphical Processing Units (GPUs) -- 13.1.1 GPU 
       Technology -- 13.1.2 A GPU Model for Valuing Portfolio 
       Counterparty Risk -- 13.1.3 Benefits of GPUs -- 13.1.4 
       Limitations of GPUs -- 13.2 New Developments in Artificial
       Intelligence and Financial Modeling -- 13.2.1 Neural 
       Networks -- 13.2.2 Fuzzy Logic -- 13.2.3 Genetic 
       Algorithms -- 13.2.4 Chaos Theory -- 13.2.5 Bayesian 
       Probabilities -- 13.3 Summary -- Practice Questions and 
       Problems -- References and Suggested Readings -- Glossary 
       -- Index 
520    A thorough guide to correlation risk and its growing 
       importance in global financial markets Ideal for anyone 
       studying for CFA, PRMIA, CAIA, or other certifications, 
       Correlation Risk Modeling and Management is the first 
       rigorous guide to the topic of correlation risk. A 
       relatively overlooked type of risk until it caused major 
       unexpected losses during the financial crisis of 2007 
       through 2009, correlation risk has become a major focus of
       the risk management departments in major financial 
       institutions, particularly since Basel III specifically 
       addressed correlation risk with new regulations. This 
       offers a rigorous explanation of the topic, revealing new 
       and updated approaches to modelling and risk managing 
       correlation risk. Offers comprehensive coverage of a topic
       of increasing importance in the financial world Includes 
       the Basel III correlation framework Features interactive 
       models in Excel/VBA, an accompanying website with further 
       materials, and problems and questions at the end of each 
       chapter 
588    Description based on publisher supplied metadata and other
       sources 
590    Electronic reproduction. Ann Arbor, Michigan : ProQuest 
       Ebook Central, 2020. Available via World Wide Web. Access 
       may be limited to ProQuest Ebook Central affiliated 
       libraries 
650  0 Financial institutions -- Risk management -- Econometric 
       models 
655  4 Electronic books 
776 08 |iPrint version:|aMeissner, Gunter|tCorrelation Risk 
       Modeling and Management : An Applied Guide Including the 
       Basel III Correlation Framework - with Interactive Models 
       in Excel / VBA|dNew York : John Wiley & Sons, Incorporated,
       c2014|z9781118796900 
830  0 Wiley Finance Ser 
856 40 |uhttps://ebookcentral.proquest.com/lib/sinciatw/
       detail.action?docID=1584084|zClick to View