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ePub Portfolio Risk Analysis download

by Gregory Connor

ePub Portfolio Risk Analysis download
Author:
Gregory Connor
ISBN13:
978-0691128283
ISBN:
0691128286
Language:
Publisher:
Princeton University Press (April 4, 2010)
Category:
Subcategory:
Economics
ePub file:
1512 kb
Fb2 file:
1418 kb
Other formats:
mbr lrf mobi lit
Rating:
4.3
Votes:
284

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Portfolio Risk Analysis has been added to your Cart. Lisa R. Goldberg is executive director of analytic initiatives at MSCI Barra and adjunct professor of statistics at the University of California, Berkeley.

Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and . Portfolio Risk Analysis - Gregory Connor.

Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. 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.

Find all the books, read about the author, and more. Are you an author? Learn about Author Central. Gregory Connor (Author), Robert A. Korajczyk (Author). It will be an essential reference text for academics, central bankers, and others in the financial services industry. -Francis X. Diebold, University of Pennsylvania.

Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective

Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective.

Gregory Connor, Lisa R. Goldberg, Robert A. Korajczyk.

Portfolio Risk Analysis book. Portfolio risk forecasting has been and continues to be an active. Details (if other): Cancel.

Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical . Additional Product Features. Goldberg, Gregory Connor, Robert A. Place of Publication. See all 3 brand new listings.

Many of the best new ideas in academic finance come from the interface with business practice

Portfolio Risk Analysis.

Portfolio Risk Analysis. Portfolio Risk Analysisprovides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective.

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.

  • This book presents a clear framework for incorporating a variety of risk factors into the management of overall portfolio risk, including, but not limited to, country- and industry-risk, macroeconomic risk, foreign exchange risk, and liquidity risk. Its key strength is how it brings together in a synthetic and natural way various aspects of portfolio risk management. By providing a broad review of the literature, it acts as a one-stop shop for obtaining a comprehensive and up-to-date overview of the field. At the same time, the book is a first-rate introduction to the methods and techniques for managing portfolio risk and will be of use to practitioners. I have recommended it to colleagues in the financial services industry, central banks, and academia.

  • This book succeeds particularly well in finding the good mariage between a practical and a scientific approach to asset management. I recommend this book the quantitative analysts as well as to finance lecturers.