Portfolio Risk Analysis

Author : Gregory Connor,Lisa R. Goldberg,Robert A. Korajczyk
Publisher : Princeton University Press
Page : 400 pages
File Size : 53,9 Mb
Release : 2010-03-15
Category : Business & Economics
ISBN : 9781400835294

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Portfolio Risk Analysis by Gregory Connor,Lisa R. Goldberg,Robert A. Korajczyk Pdf

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.

Author : Elisa Luciano,David Allen
Publisher : MDPI
Page : 224 pages
File Size : 51,6 Mb
Release : 2019-10-16
Category : Business & Economics
ISBN : 9783039216246

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Risk Analysis and Portfolio Modelling by Elisa Luciano,David Allen Pdf

Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.

Author : Henrik Hult,Filip Lindskog,Ola Hammarlid,Carl Johan Rehn
Publisher : Springer Science & Business Media
Page : 343 pages
File Size : 48,7 Mb
Release : 2012-07-20
Category : Mathematics
ISBN : 9781461441038

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Risk and Portfolio Analysis by Henrik Hult,Filip Lindskog,Ola Hammarlid,Carl Johan Rehn Pdf

Investment and risk management problems are fundamental problems for financial institutions and involve both speculative and hedging decisions. A structured approach to these problems naturally leads one to the field of applied mathematics in order to translate subjective probability beliefs and attitudes towards risk and reward into actual decisions. In Risk and Portfolio Analysis the authors present sound principles and useful methods for making investment and risk management decisions in the presence of hedgeable and non-hedgeable risks using the simplest possible principles, methods, and models that still capture the essential features of the real-world problems. They use rigorous, yet elementary mathematics, avoiding technically advanced approaches which have no clear methodological purpose and are practically irrelevant. The material progresses systematically and topics such as the pricing and hedging of derivative contracts, investment and hedging principles from portfolio theory, and risk measurement and multivariate models from risk management are covered appropriately. The theory is combined with numerous real-world examples that illustrate how the principles, methods, and models can be combined to approach concrete problems and to draw useful conclusions. Exercises are included at the end of the chapters to help reinforce the text and provide insight. This book will serve advanced undergraduate and graduate students, and practitioners in insurance, finance as well as regulators. Prerequisites include undergraduate level courses in linear algebra, analysis, statistics and probability.

Author : National Research Council,Division on Engineering and Physical Sciences,Board on Infrastructure and the Constructed Environment,Committee for Oversight and Assessment of U.S. Department of Energy Project Management
Publisher : National Academies Press
Page : 102 pages
File Size : 50,5 Mb
Release : 2005-03-25
Category : Transportation
ISBN : 9780309095181

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The Owner's Role in Project Risk Management by National Research Council,Division on Engineering and Physical Sciences,Board on Infrastructure and the Constructed Environment,Committee for Oversight and Assessment of U.S. Department of Energy Project Management Pdf

Effective risk management is essential for the success of large projects built and operated by the Department of Energy (DOE), particularly for the one-of-a-kind projects that characterize much of its mission. To enhance DOE's risk management efforts, the department asked the NRC to prepare a summary of the most effective practices used by leading owner organizations. The study's primary objective was to provide DOE project managers with a basic understanding of both the project owner's risk management role and effective oversight of those risk management activities delegated to contractors.

Author : Ludger Rüschendorf
Publisher : Springer Science & Business Media
Page : 414 pages
File Size : 55,9 Mb
Release : 2013-03-12
Category : Mathematics
ISBN : 9783642335907

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Mathematical Risk Analysis by Ludger Rüschendorf Pdf

The author's particular interest in the area of risk measures is to combine this theory with the analysis of dependence properties. The present volume gives an introduction of basic concepts and methods in mathematical risk analysis, in particular of those parts of risk theory that are of special relevance to finance and insurance. Describing the influence of dependence in multivariate stochastic models on risk vectors is the main focus of the text that presents main ideas and methods as well as their relevance to practical applications. The first part introduces basic probabilistic tools and methods of distributional analysis, and describes their use to the modeling of dependence and to the derivation of risk bounds in these models. In the second, part risk measures with a particular focus on those in the financial and insurance context are presented. The final parts are then devoted to applications relevant to optimal risk allocation, optimal portfolio problems as well as to the optimization of insurance contracts. Good knowledge of basic probability and statistics as well as of basic general mathematics is a prerequisite for comfortably reading and working with the present volume, which is intended for graduate students, practitioners and researchers and can serve as a reference resource for the main concepts and techniques.

Author : Jason Macqueen,Macqueen Satchel
Publisher : Unknown
Page : 352 pages
File Size : 53,5 Mb
Release : 2005-04-01
Category : Electronic
ISBN : 0750658118

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Portfolio Risk Analysis by Jason Macqueen,Macqueen Satchel Pdf

Author : M. Rasmussen
Publisher : Springer
Page : 453 pages
File Size : 43,7 Mb
Release : 2002-12-13
Category : Business & Economics
ISBN : 9780230512856

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Quantitative Portfolio Optimisation, Asset Allocation and Risk Management by M. Rasmussen Pdf

Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.

Author : Greg N. Gregoriou,Georges Hübner,Nicolas Papageorgiou,Fabrice D. Rouah
Publisher : John Wiley & Sons
Page : 487 pages
File Size : 55,9 Mb
Release : 2011-08-04
Category : Business & Economics
ISBN : 9781118161036

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Hedge Funds by Greg N. Gregoriou,Georges Hübner,Nicolas Papageorgiou,Fabrice D. Rouah Pdf

Whether already experienced with hedge funds or just thinking about investing in them, readers need a firm understanding of this unique investment vehicle in order to achieve maximum success. Hedge Funds unites over thirty of the top practitioners and academics in the hedge fund industry to provide readers with the latest findings in this field. Their analysis deals with a variety of topics, from new methods of performance evaluation to portfolio allocation and risk/return matters. Although some of the information is technical in nature, an understanding and applicability of the results as well as theoretical developments are stressed. Filled with in-depth insight and expert advice, Hedge Funds helps readers make the most of this flexible investment vehicle.

Author : Project Management Institute
Publisher : Project Management Institute
Page : 218 pages
File Size : 49,6 Mb
Release : 2019-04-22
Category : Business & Economics
ISBN : 9781628255669

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The Standard for Risk Management in Portfolios, Programs, and Projects by Project Management Institute Pdf

This is an update and expansion upon PMI's popular reference, The Practice Standard for Project Risk Management. Risk Management addresses the fact that certain events or conditions may occur with impacts on project, program, and portfolio objectives. This standard will: identify the core principles for risk management; describe the fundamentals of risk management and the environment within which it is carried out; define the risk management life cycle; and apply risk management principles to the portfolio, program, and project domains within the context of an enterprise risk management approach It is primarily written for portfolio, program, and project managers, but is a useful tool for leaders and business consumers of risk management, and other stakeholders.

Author : Jean-Luc Prigent
Publisher : CRC Press
Page : 451 pages
File Size : 54,8 Mb
Release : 2007-05-07
Category : Business & Economics
ISBN : 9781420010930

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Portfolio Optimization and Performance Analysis by Jean-Luc Prigent Pdf

In answer to the intense development of new financial products and the increasing complexity of portfolio management theory, Portfolio Optimization and Performance Analysis offers a solid grounding in modern portfolio theory. The book presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework, cont

Author : Ciby Joseph
Publisher : John Wiley & Sons
Page : 454 pages
File Size : 55,5 Mb
Release : 2013-04-22
Category : Business & Economics
ISBN : 9781118604892

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Advanced Credit Risk Analysis and Management by Ciby Joseph Pdf

Credit is essential in the modern world and creates wealth, provided it is used wisely. The Global Credit Crisis during 2008/2009 has shown that sound understanding of underlying credit risk is crucial. If credit freezes, almost every activity in the economy is affected. The best way to utilize credit and get results is to understand credit risk. Advanced Credit Risk Analysis and Management helps the reader to understand the various nuances of credit risk. It discusses various techniques to measure, analyze and manage credit risk for both lenders and borrowers. The book begins by defining what credit is and its advantages and disadvantages, the causes of credit risk, a brief historical overview of credit risk analysis and the strategic importance of credit risk in institutions that rely on claims or debtors. The book then details various techniques to study the entity level credit risks, including portfolio level credit risks. Authored by a credit expert with two decades of experience in corporate finance and corporate credit risk, the book discusses the macroeconomic, industry and financial analysis for the study of credit risk. It covers credit risk grading and explains concepts including PD, EAD and LGD. It also highlights the distinction with equity risks and touches on credit risk pricing and the importance of credit risk in Basel Accords I, II and III. The two most common credit risks, project finance credit risk and working capital credit risk, are covered in detail with illustrations. The role of diversification and credit derivatives in credit portfolio management is considered. It also reflects on how the credit crisis develops in an economy by referring to the bubble formation. The book links with the 2008/2009 credit crisis and carries out an interesting discussion on how the credit crisis may have been avoided by following the fundamentals or principles of credit risk analysis and management. The book is essential for both lenders and borrowers. Containing case studies adapted from real life examples and exercises, this important text is practical, topical and challenging. It is useful for a wide spectrum of academics and practitioners in credit risk and anyone interested in commercial and corporate credit and related products.

Author : David Allen,Elisa Luciano
Publisher : Unknown
Page : 1 pages
File Size : 50,8 Mb
Release : 2019
Category : Electronic books
ISBN : 3039216252

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Risk Analysis and Portfolio Modelling by David Allen,Elisa Luciano Pdf

Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.

Author : Xiaoxia Huang
Publisher : Springer Science & Business Media
Page : 188 pages
File Size : 48,9 Mb
Release : 2010-02-18
Category : Computers
ISBN : 9783642112133

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Portfolio Analysis by Xiaoxia Huang Pdf

The most salient feature of security returns is uncertainty. The purpose of the book is to provide systematically a quantitative method for analyzing return and risk of a portfolio investment in di?erent kinds of uncertainty and present the ways for striking a balance between investment return and risk such that an optimal portfolio can be obtained. In classical portfolio theory, security returns were assumed to be random variables, and probability theory was the main mathematical tool for h- dling uncertainty in the past. However,the world is complex and uncertainty is varied. Randomnessis nottheonly typeofuncertaintyinreality,especially when human factors are included. Security market, one of the most complex marketsintheworld,containsalmostallkindsofuncertainty. Thesecurity- turns are sensitive to various factors including economic, social, political and very importantly, people’s psychological factors. Therefore, other than strict probability method, scholars have proposed some other approaches including imprecise probability, possibility, and interval set methods, etc. , to deal with uncertaintyinportfolioselectionsince1990’s. Inthisbook,wewantto addto thetools existingin sciencesomenewandunorthodoxapproachesforanal- ing uncertainty of portfolio returns. When security returns are fuzzy, we use credibility which has self-duality property as the basic measure and employ credibilitytheorytohelpmakeselectiondecisionsuchthatthedecisionresult will be consistent with the laws of contradiction and excluded middle. Being awarethat one tool is not enough for solving complex practical problems, we further employ uncertain measure and uncertainty theory to help select an optimal portfolio when security returns behave neither randomly nor fuzzily. One core of portfolio selection is to ?nd a quantitative risk de?nition of a portfolio investment.

Author : David Jamieson Bolder
Publisher : Springer
Page : 544 pages
File Size : 40,5 Mb
Release : 2015-02-02
Category : Business & Economics
ISBN : 9783319126678

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Fixed-Income Portfolio Analytics by David Jamieson Bolder Pdf

The book offers a detailed, robust, and consistent framework for the joint consideration of portfolio exposure, risk, and performance across a wide range of underlying fixed-income instruments and risk factors. Through extensive use of practical examples, the author also highlights the necessary technical tools and the common pitfalls that arise when working in this area. Finally, the book discusses tools for testing the reasonableness of the key analytics to help build and maintain confidence for using these techniques in day-to-day decision making. This will be of keen interest to risk managers, analysts and asset managers responsible for fixed-income portfolios.

Author : Francois-Serge Lhabitant
Publisher : Elsevier
Page : 274 pages
File Size : 51,7 Mb
Release : 2017-09-26
Category : Mathematics
ISBN : 9780081017869

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Portfolio Diversification by Francois-Serge Lhabitant Pdf

Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated. Focuses on portfolio diversification across all its dimensions Includes recent empirical material that was created and developed specifically for this book Provides several tools to quantify and implement optimal diversification