Portfolio Risk Analysis / / Gregory Connor, Robert A. Korajczyk, Lisa R. Goldberg.
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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Superior document: | Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 |
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Place / Publishing House: | Princeton, NJ : : Princeton University Press, , [2010] ©2010 |
Year of Publication: | 2010 |
Edition: | Course Book |
Language: | English |
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Physical Description: | 1 online resource (400 p.) |
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Connor, Gregory, author. aut http://id.loc.gov/vocabulary/relators/aut Portfolio Risk Analysis / Gregory Connor, Robert A. Korajczyk, Lisa R. Goldberg. Course Book Princeton, NJ : Princeton University Press, [2010] ©2010 1 online resource (400 p.) text txt rdacontent computer c rdamedia online resource cr rdacarrier text file PDF rda Frontmatter -- Contents -- Acknowledgments -- Introduction -- Key Notation -- 1. Measures of Risk and Return -- 2. Unstructured Covariance Matrices -- 3. Industry and Country Risk -- 4. Statistical Factor Analysis -- 5. The Macroeconomy and Portfolio Risk -- 6. Security Characteristics and Pervasive Risk Factors -- 7. Measuring and Hedging Foreign Exchange Risk -- 8. Integrated Risk Models -- 9. Dynamic Volatilities and Correlations -- 10. Portfolio Return Distributions -- 11. Credit Risk -- 12. Transaction Costs and Liquidity Risk -- 13. Alternative Asset Classes -- 14. Performance Measurement -- 15. Conclusion -- References -- Index restricted access http://purl.org/coar/access_right/c_16ec online access with authorization star 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. Issued also in print. Mode of access: Internet via World Wide Web. In English. Description based on online resource; title from PDF title page (publisher's Web site, viewed 30. Aug 2021) Portfolio management. Risk management. BUSINESS & ECONOMICS / Forecasting. bisacsh Goldberg, Lisa R., author. aut http://id.loc.gov/vocabulary/relators/aut Korajczyk, Robert A., author. aut http://id.loc.gov/vocabulary/relators/aut Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 9783110442502 print 9780691128283 https://doi.org/10.1515/9781400835294 https://www.degruyter.com/isbn/9781400835294 Cover https://www.degruyter.com/cover/covers/9781400835294.jpg |
language |
English |
format |
eBook |
author |
Connor, Gregory, Connor, Gregory, Goldberg, Lisa R., Korajczyk, Robert A., |
spellingShingle |
Connor, Gregory, Connor, Gregory, Goldberg, Lisa R., Korajczyk, Robert A., Portfolio Risk Analysis / Frontmatter -- Contents -- Acknowledgments -- Introduction -- Key Notation -- 1. Measures of Risk and Return -- 2. Unstructured Covariance Matrices -- 3. Industry and Country Risk -- 4. Statistical Factor Analysis -- 5. The Macroeconomy and Portfolio Risk -- 6. Security Characteristics and Pervasive Risk Factors -- 7. Measuring and Hedging Foreign Exchange Risk -- 8. Integrated Risk Models -- 9. Dynamic Volatilities and Correlations -- 10. Portfolio Return Distributions -- 11. Credit Risk -- 12. Transaction Costs and Liquidity Risk -- 13. Alternative Asset Classes -- 14. Performance Measurement -- 15. Conclusion -- References -- Index |
author_facet |
Connor, Gregory, Connor, Gregory, Goldberg, Lisa R., Korajczyk, Robert A., Goldberg, Lisa R., Goldberg, Lisa R., Korajczyk, Robert A., Korajczyk, Robert A., |
author_variant |
g c gc g c gc l r g lr lrg r a k ra rak |
author_role |
VerfasserIn VerfasserIn VerfasserIn VerfasserIn |
author2 |
Goldberg, Lisa R., Goldberg, Lisa R., Korajczyk, Robert A., Korajczyk, Robert A., |
author2_variant |
l r g lr lrg r a k ra rak |
author2_role |
VerfasserIn VerfasserIn VerfasserIn VerfasserIn |
author_sort |
Connor, Gregory, |
title |
Portfolio Risk Analysis / |
title_full |
Portfolio Risk Analysis / Gregory Connor, Robert A. Korajczyk, Lisa R. Goldberg. |
title_fullStr |
Portfolio Risk Analysis / Gregory Connor, Robert A. Korajczyk, Lisa R. Goldberg. |
title_full_unstemmed |
Portfolio Risk Analysis / Gregory Connor, Robert A. Korajczyk, Lisa R. Goldberg. |
title_auth |
Portfolio Risk Analysis / |
title_alt |
Frontmatter -- Contents -- Acknowledgments -- Introduction -- Key Notation -- 1. Measures of Risk and Return -- 2. Unstructured Covariance Matrices -- 3. Industry and Country Risk -- 4. Statistical Factor Analysis -- 5. The Macroeconomy and Portfolio Risk -- 6. Security Characteristics and Pervasive Risk Factors -- 7. Measuring and Hedging Foreign Exchange Risk -- 8. Integrated Risk Models -- 9. Dynamic Volatilities and Correlations -- 10. Portfolio Return Distributions -- 11. Credit Risk -- 12. Transaction Costs and Liquidity Risk -- 13. Alternative Asset Classes -- 14. Performance Measurement -- 15. Conclusion -- References -- Index |
title_new |
Portfolio Risk Analysis / |
title_sort |
portfolio risk analysis / |
publisher |
Princeton University Press, |
publishDate |
2010 |
physical |
1 online resource (400 p.) Issued also in print. |
edition |
Course Book |
contents |
Frontmatter -- Contents -- Acknowledgments -- Introduction -- Key Notation -- 1. Measures of Risk and Return -- 2. Unstructured Covariance Matrices -- 3. Industry and Country Risk -- 4. Statistical Factor Analysis -- 5. The Macroeconomy and Portfolio Risk -- 6. Security Characteristics and Pervasive Risk Factors -- 7. Measuring and Hedging Foreign Exchange Risk -- 8. Integrated Risk Models -- 9. Dynamic Volatilities and Correlations -- 10. Portfolio Return Distributions -- 11. Credit Risk -- 12. Transaction Costs and Liquidity Risk -- 13. Alternative Asset Classes -- 14. Performance Measurement -- 15. Conclusion -- References -- Index |
isbn |
9781400835294 9783110442502 9780691128283 |
callnumber-first |
H - Social Science |
callnumber-subject |
HG - Finance |
callnumber-label |
HG4529 |
callnumber-sort |
HG 44529.5 C657 42010EB |
url |
https://doi.org/10.1515/9781400835294 https://www.degruyter.com/isbn/9781400835294 https://www.degruyter.com/cover/covers/9781400835294.jpg |
illustrated |
Not Illustrated |
dewey-hundreds |
300 - Social sciences |
dewey-tens |
330 - Economics |
dewey-ones |
332 - Financial economics |
dewey-full |
332.6 |
dewey-sort |
3332.6 |
dewey-raw |
332.6 |
dewey-search |
332.6 |
doi_str_mv |
10.1515/9781400835294 |
oclc_num |
979745623 |
work_keys_str_mv |
AT connorgregory portfolioriskanalysis AT goldberglisar portfolioriskanalysis AT korajczykroberta portfolioriskanalysis |
status_str |
n |
ids_txt_mv |
(DE-B1597)446572 (OCoLC)979745623 |
carrierType_str_mv |
cr |
hierarchy_parent_title |
Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 |
is_hierarchy_title |
Portfolio Risk Analysis / |
container_title |
Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 |
author2_original_writing_str_mv |
noLinkedField noLinkedField noLinkedField noLinkedField |
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