A thorough guide to correlation risk and its growing importance in global financial markets Ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to the topic of correlation risk. A relatively overlooked type of risk until it caused major unexpected losses during the financial crisis of 2007 through 2009, correlation risk has become a major focus of the risk management departments in major financial institutions, particularly since Basel III specifically addressed correlation risk with new regulations. This offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk.

一本全面的相关风险及其在全球金融市场中日益增长的重要性指南是任何学习CFA、PRMIA、CAIA或其他认证的人的理想选择，相关风险建模和管理是第一本关于相关风险主题的严格指南。相关风险是一种相对被忽视的风险，在2007年至2009年的金融危机期间，相关风险造成了重大的意外损失，特别是自巴塞尔协议III以新的监管规定专门处理相关风险以来，相关风险已成为各大金融机构风险管理部门关注的重点。这提供了一个主题的严格解释，揭示了新的和更新的方法建模和风险管理相关风险。