Multi-Asset Risk Modeling: Techniques for a Global Economy in an Electronic and Algorithmic Trading Era

Multi-Asset Risk Modeling: Techniques for a Global Economy in an Electronic and Algorithmic Trading Era

Morton Glantz, Robert Kissell


Multi-Asset hazard Modeling describes, in one quantity, the newest and such a lot complicated possibility modeling ideas for equities, debt, mounted source of revenue, futures and derivatives, commodities, and foreign currency, in addition to complicated algorithmic and digital possibility administration. starting with the basics of hazard arithmetic and quantitative threat research, the e-book strikes directly to speak about the legislation in commonplace versions that contributed to the 2008 monetary challenge and talks approximately present and destiny banking law. Importantly, it additionally explores algorithmic buying and selling, which at the moment gets sparse recognition within the literature. by means of giving coherent concepts approximately which statistical types to take advantage of for which asset category, this publication makes a true contribution to the sciences of portfolio administration and threat management.

  • Covers all asset sessions
  • Provides mathematical theoretical motives of danger in addition to useful examples with empirical data
  • Includes sections on fairness danger modeling, futures and derivatives, credits markets, foreign currency echange, and commodities

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