Correlation risk modelling and management (2nd edition)

By Gunter Meissner

Discipline:  Quantitative Analysis, Investing, Regulation

No of pages: 504

First published:

ISBN: 978-1-78272-405-6

Buy your hard copy today. The full content of this book is not yet available to view on Risk.net. However, you can order a hard copy by clicking on the buy direct button.

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.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: