Portfolio risk forecasting has been and continues to be an energetic analysis area for each academics and practitioners. Virtually all institutional funding management companies use quantitative models for his or her portfolio forecasting, and researchers have explored models’ econometric foundations, relative efficiency, and implications for capital market behavior and asset pricing equilibrium.
Portfolio Risk Analysis by Gregory Connor, Lisa R. Goldberg and Robert A. Korajczyk gives an insightful and thorough overview of economic risk modeling, with an emphasis on sensible purposes, empirical reality, and historic perspective. Beginning with imply-variance evaluation and the capital asset pricing mannequin, the authors give a comprehensive and detailed account of issue models, the key to profitable risk analysis in each economic climate.
Matters vary from the relative merits of basic, statistical, and macroeconomic models, to GARCH and other time sequence models, to the properties of the VIX volatility index. The book covers each mainstream and different asset lessons, and consists of in-depth therapies of model integration and evaluation.
Credit and liquidity risk and the uncertainty of maximum events are examined in an intuitive and rigorous way. An intensive literature evaluation accompanies every topic. The authors complement basic modeling techniques with references to functions, empirical research, and advanced mathematical texts. This book is crucial for monetary practitioners, researchers, students, and students who want to perceive the character of monetary markets or work towards improving them.
This book takes major steps forward in the crucially important area of portfolio risk measurement, making important strides towards incorporating industry and nation risk, in addition to macroeconomic, FX, credit score, transactions price, and liquidity risks. It will likely be an essential reference text for lecturers, central bankers, and others within the monetary trade.
This book makes an attempt to synthesize the tutorial and practitioner analysis in this field. We argue that portfolio risk analysis requires a balanced, multidisciplinary perspective combining statistical modeling, finance concept, microeconomics, macroeconomics, and a behavioral-institutional understanding of contemporary capital markets.
Portfolio Risk Analysis [Hardcover]
Gregory Connor, Lisa R. Goldberg and Robert A. Korajczyk
Princeton University Press (March 15, 2010)
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