Correlation risk modelling and management (2nd edition)
Discipline: Quantitative Analysis, Investing, Regulation
No of pages: 504
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Gunter Meissner returns with a fully updated second edition of Correlation Risk, the first book to address financial correlation risk in detail.
Correlation risk was highlighted in the global financial crisis of 2007-09, when correlations between many financial variables, such as return correlation between equities, the default correlation between debtors or the default correlation between a debtor and an insurer, increased dramatically. This led to huge unexpected losses for many financial institutions, which in part triggered the global financial crisis.