A01=Gregory Connor
A01=Lisa R. Goldberg
A01=Robert A. Korajczyk
Age Group_Uncategorized
Age Group_Uncategorized
Algorithmic trading
Approximation
Arbitrage
Arbitrage pricing theory
Asset
Author_Gregory Connor
Author_Lisa R. Goldberg
Author_Robert A. Korajczyk
Autocorrelation
automatic-update
Autoregressive conditional heteroskedasticity
Basis Point
Bayesian
Bias of an estimator
Capital asset pricing model
Category1=Non-Fiction
Category=KCJ
Central bank
Convertible arbitrage
COP=United States
Covariance matrix
Credit (finance)
Credit default swap index
Credit risk
Credit spread (options)
Cross-sectional regression
Currency
Delivery_Delivery within 10-20 working days
Dummy variable (statistics)
eq_bestseller
eq_business-finance-law
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Equity Market
Estimation
Estimator
Excess Kurtosis
Exchange rate
Expectation-maximization algorithm
Expected utility hypothesis
Expected value
Fair value
Forecasting
Foreign exchange risk
Forward contract
Geometric Brownian motion
Government bond
Hedge (finance)
Hedge fund
High-yield debt
Historical simulation (finance)
Implementation shortfall
Information asymmetry
Instant History Bias
Institutional investor
Interest rate
Investment
Investor
Kurtosis
Language_English
Least squares
Leverage (finance)
Liquidity risk
Long run and short run
Loss function
Macroeconomic Factor
Macroeconomics
Market exposure
Market liquidity
Market maker
Market portfolio
Maximum likelihood estimation
Money market account
Normal distribution
Numeraire
Order Imbalance
Ordinary least squares
PA=Available
Portfolio manager
Portfolio optimization
Portfolio Weight
Position Limit
Price Change
Price_€100 and above
Pricing
Principal component analysis
Probability
PS=Active
Put option
Rate of return
Real versus nominal value (economics)
Risk analysis
Risk aversion
Risk management
Risk premium
Skewness
softlaunch
Speculation
Standard deviation
Statistical arbitrage
Stochastic volatility
Time series
Trading strategy
Transaction cost
Valuation (finance)
Value (economics)
Variance
Yield curve
Product details
- ISBN 9780691128283
- Weight: 652g
- Dimensions: 152 x 235mm
- Publication Date: 04 Apr 2010
- Publisher: Princeton University Press
- Publication City/Country: US
- Product Form: Hardback
- Language: English
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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.
Gregory Connor is professor of finance at the National University of Ireland, Maynooth, and senior research associate at the London School of Economics and Political Science. Lisa R. Goldberg is executive director of analytic initiatives at MSCI Barra and adjunct professor of statistics at the University of California, Berkeley. Robert A. Korajczyk is professor of finance at Northwestern University.
