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 possibility Modeling describes, in one quantity, the newest and such a lot complicated chance modeling suggestions for equities, debt, mounted source of revenue, futures and derivatives, commodities, and foreign currency echange, in addition to complex algorithmic and digital threat administration. starting with the basics of danger arithmetic and quantitative chance research, the publication strikes directly to speak about the legislation in average types that contributed to the 2008 monetary difficulty and talks approximately present and destiny banking rules. Importantly, it additionally explores algorithmic buying and selling, which at present gets sparse realization within the literature. by way of giving coherent options approximately which statistical types to exploit for which asset category, this ebook makes a true contribution to the sciences of portfolio administration and probability management.

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

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