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.
Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.
Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL); New formulae for VaR based on autocorrelated returns; Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR; Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas; Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios; Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components; Backtesting and the assessment of risk model risk; Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.
A "hands-on" guide to applied equity analysis and portfolio management From asset allocation to modeling the intrinsic value of a stock, Applied Equity Analysis and Portfolio Management + Online Video Course offers readers a solid foundation in the practice of fundamental analysis using the same tools and techniques as professional investors. Filled with real-world illustrations and hands-on applications, Professor Weigand's learning system takes a rigorous, empirical approach to topics such as analyzing the macro-finance environment, sector rotation, financial analysis and valuation, assessing a company's competitive position, and reporting the performance of a stock portfolio. Unlike typical books on this subject—which feature chapters to read and exercises to complete—this resource allows readers to actively participate in the learning experience by completing writing exercises and manipulating interactive spreadsheets that illustrate the principles being taught. The learning system also features instructional videos that demonstrate how to use the spreadsheet models and excerpts from the author's blog, which are used to depict additional examples of the analysis process. Along the way, it skillfully outlines an effective approach to creating and interpreting outputs typically associated with a top-down money management shop — including a macroeconomic forecasting newsletter, detailed stock research reports, and a portfolio performance attribution analysis. Covers topics including active and passive money management, fundamental analysis and portfolio attribution analysis Companion streaming videos show how to use free online data to create yourown analyses of key economic indicators, individual stocks, and stock portfolios A valuable resource for universities who have applied equity analysis and portfolio management courses Practical and up-to-date, the book is an excellent resource for those with a need for practical investment expertise.
Credit is essential in the modern world and creates wealth, provided it is used wisely. The Global Credit Crisis during 2008/2009 has shown that sound understanding of underlying credit risk is crucial. If credit freezes, almost every activity in the economy is affected. The best way to utilize credit and get results is to understand credit risk. Advanced Credit Risk Analysis and Management helps the reader to understand the various nuances of credit risk. It discusses various techniques to measure, analyze and manage credit risk for both lenders and borrowers. The book begins by defining what credit is and its advantages and disadvantages, the causes of credit risk, a brief historical overview of credit risk analysis and the strategic importance of credit risk in institutions that rely on claims or debtors. The book then details various techniques to study the entity level credit risks, including portfolio level credit risks. Authored by a credit expert with two decades of experience in corporate finance and corporate credit risk, the book discusses the macroeconomic, industry and financial analysis for the study of credit risk. It covers credit risk grading and explains concepts including PD, EAD and LGD. It also highlights the distinction with equity risks and touches on credit risk pricing and the importance of credit risk in Basel Accords I, II and III. The two most common credit risks, project finance credit risk and working capital credit risk, are covered in detail with illustrations. The role of diversification and credit derivatives in credit portfolio management is considered. It also reflects on how the credit crisis develops in an economy by referring to the bubble formation. The book links with the 2008/2009 credit crisis and carries out an interesting discussion on how the credit crisis may have been avoided by following the fundamentals or principles of credit risk analysis and management. The book is essential for both lenders and borrowers. Containing case studies adapted from real life examples and exercises, this important text is practical, topical and challenging. It is useful for a wide spectrum of academics and practitioners in credit risk and anyone interested in commercial and corporate credit and related products.
This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications to optimal portfolio choice and risk theory, as well as applications to the area of computational finance that may be useful to financial engineers.
Used extensively by professionals, organizations, and schools across the country, INVESTMENT ANALYSIS AND PORTFOLIO MANAGEMENT, Tenth Edition, combines solid theory with practical application in order to help students learn how to manage their money so that they can maximize their earning potential. Filled with real-world illustrations and hands-on applications, this text takes a rigorous, empirical approach to teaching students about topics such as investment instruments, capital markets, behavioral finance, hedge funds, and international investing. It also emphasizes how investment practice and theory are influenced by globalization. In addition, this tenth edition includes new coverage of relevant topics such as the impact of the 2008 financial market crisis, changes in rating agencies and government agencies such as Fannie Mae and Freddie Mac, global assets risk-adjusted performance and intercorrelations, and more. Important Notice: Media content referenced within the product description or the product text may not be available in the ebook version.
Earthquakes represent a major risk to buildings, bridges and other civil infrastructure systems, causing catastrophic loss to modern society. Handbook of seismic risk analysis and management of civil infrastructure systems reviews the state of the art in the seismic risk analysis and management of civil infrastructure systems. Part one reviews research in the quantification of uncertainties in ground motion and seismic hazard assessment. Part twi discusses methodologies in seismic risk analysis and management, whilst parts three and four cover the application of seismic risk assessment to buildings, bridges, pipelines and other civil infrastructure systems. Part five also discusses methods for quantifying dependency between different infrastructure systems. The final part of the book considers ways of assessing financial and other losses from earthquake damage as well as setting insurance rates. Handbook of seismic risk analysis and management of civil infrastructure systems is an invaluable guide for professionals requiring understanding of the impact of earthquakes on buildings and lifelines, and the seismic risk assessment and management of buildings, bridges and transportation. It also provides a comprehensive overview of seismic risk analysis for researchers and engineers within these fields. This important handbook reviews the wealth of recent research in the area of seismic hazard analysis in modern earthquake design code provisions and practices Examines research into the analysis of ground motion and seismic hazard assessment, seismic risk hazard methodologies Addresses the assessment of seismic risks to buildings, bridges, water supply systems and other aspects of civil infrastructure
In order to effectively employ portfolio strategies that cancontrol interest rate risk and/or enhance returns, you mustunderstand the forces that drive bond markets, as well as thevaluation and risk management practices of these complexsecurities. In Advanced Bond Portfolio Management,Frank Fabozzi, Lionel Martellini, and Philippe Priaulet havebrought together more than thirty experienced bond marketprofessionals to help you do just that. Divided into six comprehensive parts, Advanced BondPortfolio Management will guide you through thestate-of-the-art techniques used in the analysis of bonds and bondportfolio management. Topics covered include: General background information on fixed-income markets and bondportfolio strategies The design of a strategy benchmark Various aspects of fixed-income modeling that will provide keyingredients in the implementation of an efficient portfolio andrisk management process Interest rate risk and credit risk management Risk factors involved in the management of an internationalbond portfolio Filled with in-depth insight and expert advice, AdvancedBond Portfolio Management is a valuable resource for anyoneinvolved or interested in this important industry.
Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.
This book provides an overview of the latest developments in the field of risk analysis (RA). Statistical methodologies have long-since been employed as crucial decision support tools in RA. Thus, in the context of this new century, characterized by a variety of daily risks - from security to health risks - the importance of exploring theoretical and applied issues connecting RA and statistical modeling (SM) is self-evident. In addition to discussing the latest methodological advances in these areas, the book explores applications in a broad range of settings, such as medicine, biology, insurance, pharmacology and agriculture, while also fostering applications in newly emerging areas. This book is intended for graduate students as well as quantitative researchers in the area of RA.
