Multi-Asset Risk Modeling, 1st Edition

Techniques for a Global Economy in an Electronic and Algorithmic Trading Era

Multi-Asset Risk Modeling, 1st Edition,ISBN9780124016903

Academic Press




235 X 191

The essential financial multi-asset risk modeling reference text for students and professionals, providing a single source of information about all asset classes

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Key Features

  • 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


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.


Undergraduate and graduate students, professors, and professionals working with financial risk management techniques who want reference information about theoretical models and applications.

Multi-Asset Risk Modeling, 1st Edition

  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

Quotes and 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.", 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 Modeling presents a comprehensive overview and summary of methods employed in finance. The statistical methods based on 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, Università degli Studi di Palermo

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