• Sign In / Register
  • Help
  • Basket0
The books you love, the emails you want
Time is running out, opt in before 25 May or you'll stop hearing from us
Yes Please
Portfolio Risk Analysis (Hardback)
  • Portfolio Risk Analysis (Hardback)
zoom

Portfolio Risk Analysis (Hardback)

(author), (author), (author)
£108.00
Hardback 400 Pages / Published: 16/04/2010
  • We can order this

Usually despatched within 1 week

  • This item has been added to your basket

Check Marketplace availability

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.

Publisher: Princeton University Press
ISBN: 9780691128283
Number of pages: 400
Weight: 652 g
Dimensions: 235 x 152 x 33 mm


MEDIA REVIEWS
"Thorough and well-cited, this is a comprehensive treatment of techniques for portfolio risk management. It provides a unique perspective, from the fundamentals to practical applications. There are few books that cover this material in this particular way."-Christopher L. Culp, author of Structured Finance and Insurance
"The range of topics is wide and the coverage is deep. An impressive book."-Peter Christoffersen, McGill University
"The conceptual framework of this book is presented in a lucid and clear manner. The treatment is mathematically rigorous where it matters, without ever becoming pedantic and without cutting corners."-Riccardo Rebonato, Royal Bank of Scotland
"This book takes major steps forward in the crucially important area of portfolio risk measurement, making significant strides toward incorporating industry and country risk, as well as macroeconomic, FX, credit, transactions cost, and liquidity risks. It will be an essential reference text for academics, central bankers, and others in the financial services industry."-Francis X. Diebold, University of Pennsylvania

You may also be interested in...

When the Money Runs Out
Added to basket
Economic Indeterminacy
Added to basket
The Next 100 Years
Added to basket
The Map and the Territory 2.0
Added to basket
Economic Forecasting and Policy
Added to basket
Future: All That Matters
Added to basket
Going South
Added to basket
£24.99
Paperback
2020 Vision
Added to basket
£20.00
Hardback
The Economist: Megachange
Added to basket
Stumbling Giant
Added to basket
£14.99
Paperback
The Economist: Megachange
Added to basket
Elliott Wave Principle
Added to basket
Losing Control
Added to basket
£25.00
Hardback

Reviews

Please sign in to write a review

Your review has been submitted successfully.