Gregory Connor – Portfolio Risk Analysis

Description

Gregory Connor – Portfolio Risk Analysis

Portfolio danger forecasting has been and continues to be an energetic analysis area for each teachers and practitioners. Almost all institutional funding administration companies use quantitative fashions for his or her portfolio forecasting, and researchers have explored fashions’ econometric foundations, relative efficiency, and implications for capital market habits and asset pricing equilibrium. Portfolio Risk Analysis supplies an insightful and thorough overview of economic danger modeling, with an emphasis on sensible purposes, empirical actuality, and historic perspective.

Beginning with mean-variance evaluation and the capital asset pricing mannequin, the authors give a complete and detailed account of issue fashions, that are the important thing to profitable danger evaluation in each financial local weather. Topics vary from the relative deserves of basic, statistical, and macroeconomic fashions, to GARCH and different time collection fashions, to the properties of the VIX volatility index. The e-book covers each mainstream and various asset lessons, and consists of in-depth therapies of mannequin integration and analysis. Credit and liquidity danger and the uncertainty of maximum occasions are examined in an intuitive and rigorous manner. An in depth literature evaluate accompanies every matter. The authors complement primary modeling strategies with references to purposes, empirical research, and superior mathematical texts.

This e-book is crucial for monetary practitioners, researchers, students, and college students who wish to perceive the character of economic markets or work towards enhancing them.

 

From the Back Cover

 

“Thorough and well-cited, this is a comprehensive treatment of techniques for portfolio risk management. It provides a unique perspective, from the fundamentals to practical applications. There are few books that cover this material in this particular way.”–Christopher L. Culp, creator of Structured Finance and Insurance

 

“The range of topics is wide and the coverage is deep. An impressive book.”–Peter Christoffersen, McGill University

 

“The conceptual framework of this book is presented in a lucid and clear manner. The treatment is mathematically rigorous where it matters, without ever becoming pedantic and without cutting corners.”–Riccardo Rebonato, Royal Bank of Scotland

 

“This book takes major steps forward in the crucially important area of portfolio risk measurement, making significant strides toward incorporating industry and country risk, as well as macroeconomic, FX, credit, transactions cost, and liquidity risks. It will be an essential reference text for academics, central bankers, and others in the financial services industry.”–Francis X. Diebold, University of Pennsylvania

 

About the Author

Gregory Connor is professor of finance on the National University of Ireland, Maynooth, and senior analysis affiliate on the London School of Economics and Political Science. Lisa R. Goldberg is govt director of analytic initiatives at MSCI Barra and adjunct professor of statistics on the University of California, Berkeley. Robert A. Korajczyk is professor of finance at Northwestern University.