Portfolio threat forecasting has been and continues to be an energetic analysis area for each lecturers 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 gives an insightful and thorough overview of monetary threat modeling, with an emphasis on sensible functions, 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 threat 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 contains in-depth therapies of mannequin integration and analysis. Credit and liquidity threat and the uncertainty of maximum occasions are examined in an intuitive and rigorous means. An in depth literature evaluation accompanies every matter. The authors complement primary modeling methods with references to functions, 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 monetary markets or work towards bettering them.
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.