Portfolio risk analysis:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Princeton
Princeton University Press
©2010
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | Includes bibliographical references and index Measures of risk and return -- Unstructured covariance matrices -- Industry and country risk -- Statistical factor analysis -- The macroeconomy and portfolio risk -- Security characteristics and pervasive risk factors -- Measuring and hedging foreign exchange risk -- Integrated risk models -- Dynamic volatilities and correlations -- Portfolio return distributions -- Credit risk -- Transaction costs and liquidity risk -- Alternative asset classes -- Performance measurement 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. --From publisher's description |
| Beschreibung: | 1 Online-Ressource (xxi, 354 pages) |
| ISBN: | 9781400835294 1400835291 9780691128283 128253159X 9781282531598 0691128286 |
Internformat
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| 500 | |a 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. --From publisher's description | ||
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| 650 | 7 | |a BUSINESS & ECONOMICS / Econometrics |2 bisacsh | |
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| 650 | 7 | |a Risk management |2 fast | |
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Datensatz im Suchindex
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|---|---|
| any_adam_object | |
| author | Connor, Gregory |
| author_facet | Connor, Gregory |
| author_role | aut |
| author_sort | Connor, Gregory |
| author_variant | g c gc |
| building | Verbundindex |
| bvnumber | BV042958976 |
| collection | ZDB-4-EBA ZDB-4-EBU |
| ctrlnum | (OCoLC)647880060 (DE-599)BVBBV042958976 |
| dewey-full | 332.6 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV042958976 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:13:45Z |
| institution | BVB |
| isbn | 9781400835294 1400835291 9780691128283 128253159X 9781282531598 0691128286 |
| language | English |
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| owner_facet | DE-1046 DE-1047 |
| physical | 1 Online-Ressource (xxi, 354 pages) |
| psigel | ZDB-4-EBA ZDB-4-EBU FAW_PDA_EBA FLA_PDA_EBU |
| publishDate | 2010 |
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| publishDateSort | 2010 |
| publisher | Princeton University Press |
| record_format | marc |
| spelling | Connor, Gregory Verfasser aut Portfolio risk analysis Gregory Connor, Lisa R. Goldberg, Robert A. Korajczyk Princeton Princeton University Press ©2010 1 Online-Ressource (xxi, 354 pages) txt rdacontent c rdamedia cr rdacarrier Includes bibliographical references and index Measures of risk and return -- Unstructured covariance matrices -- Industry and country risk -- Statistical factor analysis -- The macroeconomy and portfolio risk -- Security characteristics and pervasive risk factors -- Measuring and hedging foreign exchange risk -- Integrated risk models -- Dynamic volatilities and correlations -- Portfolio return distributions -- Credit risk -- Transaction costs and liquidity risk -- Alternative asset classes -- Performance measurement 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. --From publisher's description BUSINESS & ECONOMICS / Investments & Securities / General bisacsh BUSINESS & ECONOMICS / Econometrics bisacsh Portfolio management fast Risk management fast Wirtschaft Portfolio management Risk management Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 s Risikomanagement (DE-588)4121590-4 s 1\p DE-604 Goldberg, Lisa R. Sonstige oth Korajczyk, Robert A. Sonstige oth http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=313427 Aggregator Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Connor, Gregory Portfolio risk analysis BUSINESS & ECONOMICS / Investments & Securities / General bisacsh BUSINESS & ECONOMICS / Econometrics bisacsh Portfolio management fast Risk management fast Wirtschaft Portfolio management Risk management Portfolio Selection (DE-588)4046834-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4121590-4 |
| title | Portfolio risk analysis |
| title_auth | Portfolio risk analysis |
| title_exact_search | Portfolio risk analysis |
| title_full | Portfolio risk analysis Gregory Connor, Lisa R. Goldberg, Robert A. Korajczyk |
| title_fullStr | Portfolio risk analysis Gregory Connor, Lisa R. Goldberg, Robert A. Korajczyk |
| title_full_unstemmed | Portfolio risk analysis Gregory Connor, Lisa R. Goldberg, Robert A. Korajczyk |
| title_short | Portfolio risk analysis |
| title_sort | portfolio risk analysis |
| topic | BUSINESS & ECONOMICS / Investments & Securities / General bisacsh BUSINESS & ECONOMICS / Econometrics bisacsh Portfolio management fast Risk management fast Wirtschaft Portfolio management Risk management Portfolio Selection (DE-588)4046834-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | BUSINESS & ECONOMICS / Investments & Securities / General BUSINESS & ECONOMICS / Econometrics Portfolio management Risk management Wirtschaft Portfolio Selection Risikomanagement |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=313427 |
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