Portfolio risk analysis [electronic resource] / Gregory Connor, Lisa R. Goldberg, Robert A. Korajczyk.

ISBN:

9781400835294

9780691128283

Title:

Portfolio risk analysis [electronic resource] / Gregory Connor, Lisa R. Goldberg, Robert A. Korajczyk.

Author:

Connor, Gregory.

Personal Author:

Connor, Gregory.

Publication Information:

Physical Description:

1 online resource (xxi, 354 pages)

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.

Local Note:

eBooks on EBSCOhost

Subject Term:

Portfolio management.

Risk management.

Added Author:

Goldberg, Lisa R.

Korajczyk, Robert A., 1954-

Format:

Electronic Resources

Electronic Access:

Click here to view

Publication Date:

2010

Publication Information:

Available:*

Shelf Number	Material Type	Copy	Shelf Location	Status
332.6 22	1:E-BOOK	1	1:ONLINE	Searching... Unknown

Bound With These Titles

On Order

Summary

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.

Author Notes

Gregory Connor is professor of finance at the National University of Ireland, Maynooth, and senior research associate at the London School of Economics and Political Science. Lisa R. Goldberg is executive director of analytic initiatives at MSCI Barra and adjunct professor of statistics at the University of California, Berkeley. Robert A. Korajczyk is professor of finance at Northwestern University.

Acknowledgments	p. xi
Introduction	p. xiii
Key Notation	p. xix
Chapter 1 Measures of Risk and Return	p. 1
1.1 Measuring Return	p. 1
1.2 The Key Portfolio Risk Measures	p. 6
1.3 Risk-Return Preferences and Portfolio Optimization	p. 12
1.4 The Capital Asset Pricing Model and Its Applications to Risk Analysis	p. 23
1.5 The Objectives and Limitations of Portfolio Risk Analysis	p. 31
Chapter 2 Unstructured Covariance Matrices	p. 36
2.1 Estimating Return Covariance Matrices	p. 36
2.2 The Error-Maximization Problem	p. 47
2.3 Portfolio Choice as Decision Making under Uncertainty	p. 54
Chapter 3 Industry and Country Risk	p. 61
3.1 Industry-Country Component Models	p. 61
3.2 Empirical Evidence on the Relative Magnitudes of Country and Industry Risks	p. 73
3.3 Sector-Currency Models of Corporate Bond Returns	p. 77
Chapter 4 Statistical Factor Analysis	p. 79
4.1 Types of Factor Models	p. 79
4.2 Approximate Factor Models	p. 82
4.3 The Arbitrage Pricing Theory	p. 86
4.4 Small-n Estimation Methods	p. 88
4.5 Large-n Estimation Methods	p. 93
4.6 Number of Factors	p. 98
Chapter 5 The Macroeconomy and Portfolio Risk	p. 101
5.1 Estimating Macroeconomic Factor Models	p. 101
5.2 Event Studies of Macroeconomic Announcements	p. 110
5.3 Macroeconomic Policy Endogeneity	p. 112
5.4 Business Cycle Betas	p. 115
5.5 Empirical Fit and the Relative Value of Macroeconomic Factor Models	p. 116
Chapter 6 Security Characteristics and Pervasive Risk Factors	p. 117
6.1 Equity and Fixed-Income Characteristics	p. 117
6.2 Characteristic-Based Factor Models of Equities	p. 122
6.3 The Fama-French Model and Extensions	p. 130
6.4 The Semiparametric Approach to Characteristic-Based Factor Models	p. 132
Chapter 7 Measuring and Hedging Foreign Exchange Risk	p. 134
7.1 Definitions of Foreign Exchange Risk	p. 134
7.2 Optimal Currency Hedging	p. 142
7.3 Currency Covariances with Stock and Bond Returns	p. 149
7.4 Macroeconomic Influences on Currency Returns	p. 151
Chapter 8 Integrated Risk Models	p. 155
8.1 Global and Regional Integration Trends	p. 155
8.2 Risk Integration across Asset Classes	p. 158
8.3 Segmented Asset Allocation and Security Selection	p. 159
8.4 Integrated Risk Models	p. 162
Chapter 9 Dynamic Volatilities and Correlations	p. 167
9.1 GARCH Models	p. 167
9.2 Stochastic Volatility Models	p. 178
9.3 Time Aggregation	p. 180
9.4 Downside Correlation	p. 181
9.5 Option-Implied Volatility	p. 184
9.6 The Volatility Term Structure at Long Horizons	p. 187
9.7 Time-Varying Cross-Sectional Dispersion	p. 188
Chapter 10 Portfolio Return Distributions	p. 191
10.1 Characterizing Return Distributions	p. 191
10.2 Estimating Return Distributions	p. 196
10.3 Tail Risk	p. 203
10.4 Nonlinear Dependence between Asset Returns	p. 207
Chapter 11 Credit Risk	p. 212
11.1 Agency Ratings and Factor Models of Spread Risk	p. 213
11.2 Rating Transitions and Default	p. 217
11.3 Credit Instruments	p. 218
11.4 Conceptual Approaches to Credit Risk	p. 220
11.5 Recovery at Default	p. 232
11.6 Portfolio Credit Models	p. 232
11.7 The 2007-8 Credit-Liquidity Crisis	p. 238
Chapter 12 Transaction Costs and Liquidity Risk	p. 241
12.1 Some Basic Terminology	p. 241
12.2 Measuring Transactions Cost	p. 246
12.3 Statistical Properties of Liquidity	p. 261
12.4 Optimal Trading Strategies and Transaction Costs	p. 266
Chapter 13 Alternative Asset Classes	p. 271
13.1 Nonsynchronous Pricing and Smoothed Returns	p. 271
13.2 Time-Varying Risk, Nonlinear Payoff, and Style Drift	p. 284
13.3 Selection and Survivorship Biases	p. 291
13.4 Collectibles: Measuring Return and Risk with Infrequent and Error-Prone Observations	p. 295
13.5 Summary	p. 298
Chapter 14 Performance Measurement	p. 299
14.1 Return-Based Performance Measurement	p. 299
14.2 Holdings-Based Performance Measurement and Attribution	p. 303
14.3 Volatility Forecast Evaluation	p. 309
14.4 Value-at-Risk Hit Rates	p. 316
14.5 Forecast and Realized Return Densities	p. 317
Chapter 15 Conclusion	p. 319
15.1 Some Key Messages	p. 319
15.2 Questions for Future Research	p. 320
References	p. 323
Index	p. 345

Available:*

Bound With These Titles

On Order

Summary

Summary

Author Notes

Table of Contents