Multi-Asset Risk Modeling:Techniques for a Global Economy in an Electronic and Algorithmic Trading Era 多资产风险建模：用于电子和算法交易时代全球经济的技术

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北京朝阳

认证卖家担保交易快速发货售后保障

作者Morton Glantz

出版社Elsevier Science & Technology

ISBN9780124016903

出版时间2013

装帧平装

上书时间2024-06-24

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商品描述: 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 data
Includes sections on equity risk modeling, futures and derivatives, credit markets, foreign exchange, and commodities

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