Portfolio risk analysis /:
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, rel...
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| Hauptverfasser: | , , |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Princeton :
Princeton University Press,
©2010.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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 resource (xxi, 354 pages) |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9781400835294 1400835291 0691128286 9780691128283 |
Internformat
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| 505 | 0 | |a 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. | |
| 520 | |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. | ||
| 588 | 0 | |a Print version record. | |
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| 650 | 0 | |a Risk management. |0 http://id.loc.gov/authorities/subjects/sh85114200 | |
| 650 | 2 | |a Risk Management |0 https://id.nlm.nih.gov/mesh/D012308 | |
| 650 | 6 | |a Gestion de portefeuille. | |
| 650 | 6 | |a Gestion du risque. | |
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| author | Connor, Gregory Goldberg, Lisa R. Korajczyk, Robert A., 1954- |
| author_GND | http://id.loc.gov/authorities/names/n91016285 http://id.loc.gov/authorities/names/nr93031122 http://id.loc.gov/authorities/names/no95042179 |
| author_facet | Connor, Gregory Goldberg, Lisa R. Korajczyk, Robert A., 1954- |
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| contents | 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. |
| ctrlnum | (OCoLC)647880060 |
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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.6 |
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| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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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. 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| id | ZDB-4-EBA-ocn647880060 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-27T13:17:20Z |
| institution | BVB |
| isbn | 9781400835294 1400835291 0691128286 9780691128283 |
| language | English |
| lccn | 2009050913 |
| oclc_num | 647880060 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xxi, 354 pages) |
| psigel | ZDB-4-EBA |
| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | Princeton University Press, |
| record_format | marc |
| spelling | Connor, Gregory, author. http://id.loc.gov/authorities/names/n91016285 Portfolio risk analysis / Gregory Connor, Lisa R. Goldberg, Robert A. Korajczyk. Princeton : Princeton University Press, ©2010. 1 online resource (xxi, 354 pages) text txt rdacontent computer c rdamedia online resource 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. Print version record. Portfolio management. http://id.loc.gov/authorities/subjects/sh85105080 Risk management. http://id.loc.gov/authorities/subjects/sh85114200 Risk Management https://id.nlm.nih.gov/mesh/D012308 Gestion de portefeuille. Gestion du risque. risk management. aat BUSINESS & ECONOMICS Investments & Securities General. bisacsh BUSINESS & ECONOMICS Econometrics. bisacsh Portfolio management fast Risk management fast Goldberg, Lisa R., author. http://id.loc.gov/authorities/names/nr93031122 Korajczyk, Robert A., 1954- author. https://id.oclc.org/worldcat/entity/E39PBJrWGb4qhVpXBvmHDdj3cP http://id.loc.gov/authorities/names/no95042179 has work: Portfolio Risk Analysis (Text) https://id.oclc.org/worldcat/entity/E39PCFMj3PR36KfpkXbh3C4xwC https://id.oclc.org/worldcat/ontology/hasWork Print version: Connor, Gregory. Portfolio risk analysis. Princeton : Princeton University Press, ©2010 (DLC) 2009050913 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=313427 Volltext |
| spellingShingle | Connor, Gregory Goldberg, Lisa R. Korajczyk, Robert A., 1954- Portfolio risk analysis / 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 management. http://id.loc.gov/authorities/subjects/sh85105080 Risk management. http://id.loc.gov/authorities/subjects/sh85114200 Risk Management https://id.nlm.nih.gov/mesh/D012308 Gestion de portefeuille. Gestion du risque. risk management. aat BUSINESS & ECONOMICS Investments & Securities General. bisacsh BUSINESS & ECONOMICS Econometrics. bisacsh Portfolio management fast Risk management fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85105080 http://id.loc.gov/authorities/subjects/sh85114200 https://id.nlm.nih.gov/mesh/D012308 |
| 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 | Portfolio management. http://id.loc.gov/authorities/subjects/sh85105080 Risk management. http://id.loc.gov/authorities/subjects/sh85114200 Risk Management https://id.nlm.nih.gov/mesh/D012308 Gestion de portefeuille. Gestion du risque. risk management. aat BUSINESS & ECONOMICS Investments & Securities General. bisacsh BUSINESS & ECONOMICS Econometrics. bisacsh Portfolio management fast Risk management fast |
| topic_facet | Portfolio management. Risk management. Risk Management Gestion de portefeuille. Gestion du risque. risk management. BUSINESS & ECONOMICS Investments & Securities General. BUSINESS & ECONOMICS Econometrics. Portfolio management Risk management |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=313427 |
| work_keys_str_mv | AT connorgregory portfolioriskanalysis AT goldberglisar portfolioriskanalysis AT korajczykroberta portfolioriskanalysis |