Correlation Risk Modeling and Management: An Applied Guide including the Basel III Correlation Framework - With Interactive Models in Excel / VBA, + Website

Praise for The Definitive Guide to CDOs: Application, Pricing, and Risk Management.

"In the past, derivatives researchers have devoted a great deal of effort to modeling volatility, but have not paid enough attention to correlation. The crisis of 2008 showed us just how important correlations can be. This book looks at all aspects of correlation modeling and will be a valuable resource for both academics and practitioners."
—John Hull, Maple Financial Professor of Derivatives and Risk Management Joseph L. Rotman School of Management University of Toronto

"This book zeroes in on the quantitative issue at the heart of the crisis. We are way past due on a book of this nature."
—Peter Carr, PhD., Global Head of Market Modeling, Morgan Stanley Executive Director of the Masters in Math Finance Program, NYU

"This book is a very timely and needed reference reviewing the various approaches to correlation modelling from across all areas of OTC derivatives analytics. The author contributed broadly to the subject and the insights he shares will be useful to practitioners and academics alike."
—Claudio Albanese, CEO, Global Valuation