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

Multi-Asset Risk Modeling describes, in a single volume, the latest and most advanced risk modeling techniques for equities, debt, fixed income, futures and derivatives, commodities, and foreign exchange, as well as advanced algorithmic and electronic risk management. Beginning with the fundamentals of risk mathematics and quantitative risk analysis, the book moves on to discuss the laws in standard models that contributed to the 2008 financial crisis and talks about current and future banking regulation. Importantly, it also explores algorithmic trading, which currently receives sparse attention in the literature. By giving coherent recommendations about which statistical models to use for which asset class, this book makes a real contribution to the sciences of portfolio management and risk management.

Covers all asset classes Provides mathematical theoretical explanations of risk as well as practical examples with empirical dataIncludes sections on equity risk modeling, futures and derivatives, credit markets, foreign exchange, and commodities

1. Introduction to Multi-Asset Risk Modeling – Lessons from the Debt Crisis
2. A Primer on Risk Mathematics
3. A Primer on Quantitative Risk Analysis - by Johnathan Mun
4. Price Volatility
5. Factor Models
6. Equity Derivatives
7. Foreign Exchange Market and Interest Rates
8. Algorithmic Trading Risk
9. Risk Hedging Techniques
10. Rating Credit Risk: Current Practices, Model Design and Applications
11. A Basic Credit Default Swap Model 
12. Multi-Asset Corporate Restructurings and Valuations
13. Extreme Value Theory and Application to Market Shocks for Stress Testing and Extreme Value at Risk
14. Case Study: Ensuring Sustainability of an Institution as a Going Concern: An Approach to Dealing with Black Swan or Tail Risk - by Karamjeet Paul