Portfolio risk analysis / Gregory Connor, Lisa R. Goldberg, Robert A. Korajczyk.

Format:

Book

Author/Creator:

Connor, Gregory.

Contributor:

Goldberg, Lisa R.

Korajczyk, Robert A., 1954-

Language:

English

Subjects (All):

Portfolio management.

Risk management.

Physical Description:

1 online resource (379 p.)

Edition:

Course Book

Place of Publication:

Princeton : Princeton University Press, c2010.

Language Note:

English

System Details:

Mode of access: World Wide Web.

Summary:

Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.

Contents:

Frontmatter

Contents

Acknowledgments

Introduction

Key Notation

1. Measures of Risk and Return

2. Unstructured Covariance Matrices

3. Industry and Country Risk

4. Statistical Factor Analysis

5. The Macroeconomy and Portfolio Risk

6. Security Characteristics and Pervasive Risk Factors

7. Measuring and Hedging Foreign Exchange Risk

8. Integrated Risk Models

9. Dynamic Volatilities and Correlations

10. Portfolio Return Distributions

11. Credit Risk

12. Transaction Costs and Liquidity Risk

13. Alternative Asset Classes

14. Performance Measurement

15. Conclusion

References

Index

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9786612531590

9781282531598

128253159X

9781400835294

1400835291

OCLC:

647880060