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

by Morton Glantz, Robert Kissell

Overview

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

Product Details

ISBN-13:	9780124016941
Publisher:	Elsevier Science
Publication date:	12/03/2013
Sold by:	Barnes & Noble
Format:	eBook
Pages:	544
File size:	11 MB
Note:	This product may take a few minutes to download.

About the Author

Professor Morton Glantz serves as a financial consultant, educator, and adviser to a broad spectrum of professionals, including corporate financial executives, government ministers, privatization managers, investment and commercial bankers, public accounting firms, members of merger and acquisition teams, strategic planning executives, management consultants, attorneys, and representatives of foreign governments and international banks. Professor Morton Glantz is a principal of Real Consulting and Real Options Valuation, firms specializing in risk consulting, training, certification, and advanced analytical software in the areas of risk quantification, analysis, and management solutions.

As a JP Morgan Chase (heritage bank) senior banker, Professor Glantz built a progressive career path specializing in credit analysis and credit risk management, risk grading systems, valuation models, and professional training. He was instrumental in the reorganization and development of the credit analysis module of the Bank’s Management Training Program-Finance, which at the time was recognized as one of the foremost training programs in the banking industry.

Professor Glantz is on the (adjunct) finance faculty of the Fordham Graduate School of Business. He has appeared in the Harvard University International Directory of Business and Management Scholars and Research, and has earned Fordham University Deans Award for Faculty Excellence on three occasions. He is a Board Member of the International Standards Board, International Institute of Professional Education and Research (IIPER). The IIPER is a global institute with partners and offices around the world, including the United States, Switzerland, Hong Kong, Mexico, Portugal, Singapore, Nigeria, and Malaysia. Professor Glantz is widely published in financial journals and has authored 8 books.

Dr. Robert Kissell is the president and founder of Kissell Research Group. He has over twenty years of experience specializing in economics, finance, math&statistics, risk, and sports modeling.

Dr. Kissell is author of the leading industry books, “The Science of Algorithmic Trading&Portfolio Management,” (Elsevier, 2013), “Multi-Asset Risk Modeling” (Elsevier, 2014), and “Optimal Trading Strategies,” (AMACOM, 2003). He has published numerous research papers on trading, electronic algorithms, risk management, and best execution. His paper, “Dynamic Pre-Trade Models: Beyond the Black Box,” (2011) won Institutional Investor’s prestigious paper of the year award.

Dr. Kissell is an adjunct faculty member of the Gabelli School of Business at Fordham University and is an associate editor of the Journal of Trading and the Journal of Index Investing. He has previously been an instructor at Cornell University in their graduate Financial Engineering program.

Dr. Kissell has worked with numerous Investment Banks throughout his career including UBS Securities where he was Executive Director of Execution Strategies and Portfolio Analysis, and at JPMorgan where he was Executive Director and Head of Quantitative Trading Strategies. He was previously at Citigroup/Smith Barney where he was Vice President of Quantitative Research, and at Instinet where he was Director of Trading Research. He began his career as an Economic Consultant at R.J. Rudden Associates specializing in energy, pricing, risk, and optimization.

During his college years, Dr. Kissell was a member of the Stony Brook Soccer Team and was Co-Captain in his Junior and Senior years. It was during this time as a student athlete where he began applying math and statistics to sports modeling problems. Many of the techniques discussed in “Optimal Sports Math, Statistics, and Fantasy” were developed during his time at Stony Brook, and advanced thereafter. Thus, making this book the byproduct of decades of successful research.

Dr. Kissell has a Ph.D. in Economics from Fordham University, an MS in Applied Mathematics from Hofstra University, an MS in Business Management from Stony Brook University, and a BS in Applied Mathematics&Statistics from Stony Brook University.

Table of Contents

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

Editorial Reviews

"…explains 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….focuses on the application of proper volatility and factor models, optimization techniques, and the evaluation of traditional and nontraditional sources of risk."—ProtoView.com, March 2014

"The financial crisis has shown that measurement and control of financial risks is a crucial task for a financial institution that cannot be delegated to a few specialists in the quant department. This very readable book provides a good introduction to many hot issues in financial risk management at a level accessible to the non-specialist."—Ruediger Frey, Wirtschaftsuniversität Wien

"Multi-Asset Risk Modelingpresents a comprehensive overview and summary of methods employed in finance. The statistical methods basedon real-world examples provide a practical introduction for students,and the book is a valuable source for financial engineering and risk management tools as well."—Alois Pichler, Universität Wien

"The text offers an up-to-date and practical coverage of a wide range of topics in risk modeling and risk management, representing a good source for both students and practitioners."—Giorgio Fazio, Universitàdegli Studi di Palermo

From the Publisher