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Multi-Asset Risk Modeling

Multi-Asset Risk Modeling
Techniques for a Global Economy in an Electronic and Algorithmic Trading Era

by Morton Glantz,Robert Kissell

  • Publisher : Academic Press
  • Release : 2013-12-03
  • Pages : 544
  • ISBN : 0124016944
  • Language : En, Es, Fr & De
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Multi-Asset Risk Modeling describes, in a single volume, the latest and most advanced risk modeling techniques for equities, debt, fixed income, futures and derivatives, commodities, and foreign exchange, as well as advanced algorithmic and electronic risk management. Beginning with the fundamentals of risk mathematics and quantitative risk analysis, the book moves on to discuss the laws in standard models that contributed to the 2008 financial crisis and talks about current and future banking regulation. Importantly, it also explores algorithmic trading, which currently receives sparse attention in the literature. By giving coherent recommendations about which statistical models to use for which asset class, this book makes a real contribution to the sciences of portfolio management and risk management. Covers all asset classes Provides mathematical theoretical explanations of risk as well as practical examples with empirical data Includes sections on equity risk modeling, futures and derivatives, credit markets, foreign exchange, and commodities

Risk-Based Investment Management in Practice

Risk-Based Investment Management in Practice
A Book

by Frances Cowell

  • Publisher : Springer
  • Release : 2013-10-31
  • Pages : 475
  • ISBN : 113734640X
  • Language : En, Es, Fr & De
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A practitioner's account of how investment risk affects the decisions of professional investment managers. Jargon-free, with a broad coverage of investment types and asset classes, the non-investment professional will find this book readable and accessible.

Investment Risk and Uncertainty

Investment Risk and Uncertainty
Advanced Risk Awareness Techniques for the Intelligent Investor

by Steven P. Greiner

  • Publisher : John Wiley & Sons
  • Release : 2013-03-14
  • Pages : 608
  • ISBN : 1118421418
  • Language : En, Es, Fr & De
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Valuable insights on the major methods used in today's asset andrisk management arena Risk management has moved to the forefront of asset managementsince the credit crisis. However, most coverage of this subject isoverly complicated, misunderstood, and extremely hard to apply.That's why Steven Greiner—a financial professional with overtwenty years of quantitative and modeling experience—haswritten Investment Risk and Uncertainty. With this book, heskillfully reduces the complexity of risk management methodologiesapplied across many asset classes through practical examples ofwhen to use what. Along the way, Greiner explores how particular methods can lowerrisk and mitigate losses. He also discusses how to stress test yourportfolio and remove the exposure to regular risks and those from"Black Swan" events. More than just an explanation of specific riskissues, this reliable resource provides practical "off-the-shelf"applications that will allow the intelligent investor to understandtheir risks, their sources, and how to hedge those risks. Covers modern methods applied in risk management for manydifferent asset classes Details the risk measurements of truly multi-asset classportfolios, while bridging the gap for managers in variousdisciplines—from equity and fixed income investors tocurrency and commodity investors Examines risk management algorithms for multi-asset classmanagers as well as risk managers, addressing new compliance issuesand how to meet them The theory of risk management is hardly ever spelled out inpractical applications that portfolio managers, pension fundadvisors, and consultants can make use of. This book fills thatvoid and will put you in a better position to confidently face theinvestment risks and uncertainties found in today's dynamicmarkets.

Essays on Fitting Factor Models for Asset Returns

Essays on Fitting Factor Models for Asset Returns
A Book

by Sangeetha Srinivasan

  • Publisher : Unknown Publisher
  • Release : 2018
  • Pages : 184
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Factor models are used to describe the fundamental drivers of financial asset returns. There are 3 types: time-series factor, statistical factor and fundamental factor models. While factor models have existed for almost 60 years, industry-wide adoption with factor-based investing has surged in the last decade. This dissertation is centered on factorAnalytics, an open source R package co-developed with other UW students and faculty members, that demystifies the industry black-box models, making model fitting tools readily available for any interested academic or practitioner. Chapter 1 compares the characteristics of the three types of models in terms of model specification, estimation, interpretation and various in-sample and out-of-sample performance metrics using S&P 500 stock returns. Like Connor (1995), we find that the fundamental factor model outperforms the time-series and statistical factor models since it makes use of additional information on asset-specific characteristics. Moreover, we find that adding statistical factor(s) extracted from the residuals of time-series or fundamental factor models, or, fitting fundamental factors to the residuals of a time-series factor model, to create hybrid models, further improves performance. Investment management firms need to understand peer positioning for a variety of reasons, including risk management. Factor models provide a framework to estimate peer exposures, especially useful when holdings-based information is lacking. Chapter 2 presents a multi-asset time-series factor model constructed from long-short portfolios of asset class index returns, applied to peer-average returns from the Morningstar U.S. fund allocation categories. We show that factors are better than asset classes for assessing unknown exposures and decomposing risk in multi-asset portfolios. Furthermore, there is an opportunity to create more efficient, better risk-diversified portfolios using factors when making allocation decisions. We use the multi-factor model to construct equal-asset-risk and equal-factor-risk portfolios and compare them to the equal-weighted and minimum-variance portfolios. We also show that a zero-investment equal-factor-risk portfolio sleeve helps bridge the gap between pure risk parity and traditional portfolios, enhancing Sharpe ratio across all risk categories. Chapters 3-5 contain vignettes for each type of factor model that describe and demonstrate model fitting, factor risk (volatility, value-at-risk and expected shortfall) decomposition, and related S3 generic methods.

Recent Applications of Financial Risk Modelling and Portfolio Management

Recent Applications of Financial Risk Modelling and Portfolio Management
A Book

by Škrinjarić, Tihana,Čižmešija, Mirjana,Christiansen, Bryan

  • Publisher : IGI Global
  • Release : 2020-09-25
  • Pages : 432
  • ISBN : 1799850846
  • Language : En, Es, Fr & De
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In today’s financial market, portfolio and risk management are facing an array of challenges. This is due to increasing levels of knowledge and data that are being made available that have caused a multitude of different investment models to be explored and implemented. Professionals and researchers in this field are in need of up-to-date research that analyzes these contemporary models of practice and keeps pace with the advancements being made within financial risk modelling and portfolio control. Recent Applications of Financial Risk Modelling and Portfolio Management is a pivotal reference source that provides vital research on the use of modern data analysis as well as quantitative methods for developing successful portfolio and risk management techniques. While highlighting topics such as credit scoring, investment strategies, and budgeting, this publication explores diverse models for achieving investment goals as well as improving upon traditional financial modelling methods. This book is ideally designed for researchers, financial analysts, executives, practitioners, policymakers, academicians, and students seeking current research on contemporary risk management strategies in the financial sector.

HIGH YIELD BONDS

HIGH YIELD BONDS
Market Structure, Portfolio Management, and Credit Risk Modeling

by Mark Shenkman,Theodore M. Barnhill

  • Publisher : McGraw Hill Professional
  • Release : 1999-04-21
  • Pages : 574
  • ISBN : 9780071376969
  • Language : En, Es, Fr & De
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HIGH-YIELD BONDS provides state-of-the-art research, strategies, and toolsÑalongside the expert analysis of respected authorities including Edward Altman of New York UniversityÕs Salomon Center, Lea Carty of MoodyÕs Investor Service, Sam DeRosa-Farag of Donaldson, Lufkin & Jenrette, Martin Fridson of Merrill Lynch & Company, Stuart Gilson of Harvard University, Robert Kricheff of CS First Boston, and Frank Reilly of the University of Notre DameÑto help you truly understand todayÕs high-yield market. For added value and ease of reference, this high-level one-volume encyclopedia is divided into seven sections detailing virtually every aspect of high-yield bond investment. They include: Market structureÑThe role of investment banks in security innovation and market development, evolution of analytical methodologies, and recent leveraged loan market developments; Security risk analysisÑHistorical bond default rates, real interest rate and default rate relationships, and new simulation methodologies for modeling credit quality; Security valuationÑImpact of seniority and security on bond pricing and return, important trading factors, and a Monte Carlo simulation methodology for valuing bonds and options in the context of correlated interest rate and credit risk; Market valuation modelsÑEconometric studies which detail the importance of monetary influences, risk-free interest rates, default rates, mutual fund flows, and seasonal fluctuations; Portfolio managementÑHistorical perspective and comparison to alternative investments, analysis of indices available to investors, and specific portfolio selection and risk management strategies of professional fund managers; Distressed security investingÑHistorical risk and return information, plus an academic overview of the market and decision criteria for uncovering and investing in securities with higher-than-average risk-adjusted returns; Corporate finance considerationsÑEmerging firmsÕ strategic choice between external debt and equity financing, as well as the choice of issuing public versus private (Rule-144a) securities. HIGH-YIELD BONDS provides extensive coverage of bond valuation and the construction and management of high-yield portfolios. Advanced Monte Carlo simulation models for the valuation of bonds and options on bonds as well as risk assessments on portfolios of bonds under conditions of correlated interest rate and credit risk are demonstrated. In todayÕs explosive environment of multiple new issues and high risk versus return relationships, it is paramount that you get advice from analysts and experts who have been influential in shaping and defining the market. HIGH-YIELD BONDS will provide you with a valuable reference to this fascinating and constantly changing class of securities, helping you assemble a stable, diversified portfolio of fixed income investments that provides the greatest returns and the lowest risks.

Risk

Risk
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2006-07
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Market Risk Management for Hedge Funds

Market Risk Management for Hedge Funds
Foundations of the Style and Implicit Value-at-Risk

by Francois Duc,Yann Schorderet

  • Publisher : John Wiley & Sons
  • Release : 2010-04-01
  • Pages : 262
  • ISBN : 0470740795
  • Language : En, Es, Fr & De
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This book provides a cutting edge introduction to market risk management for Hedge Funds, Hedge Funds of Funds, and the numerous new indices and clones launching coming to market on a near daily basis. It will present the fundamentals of quantitative risk measures by analysing the range of Value-at-Risk (VaR) models used today, addressing the robustness of each model, and looking at new risk measures available to more effectively manage risk in a hedge fund portfolio. The book begins by analysing the current state of the hedge fund industry - at the ongoing institutionalisation of the market, and at its latest developments. It then moves on to examine the range of risks, risk controls, and risk management strategies currently employed by practitioners, and focuses on particular risks embedded in the more classic investment strategies such as Long/Short, Convertible Arbitrage, Fixed Income Arbitrage, Short selling and risk arbitrage. Addressed along side these are other risks common to hedge funds, including liquidity risk, leverage risk and counterparty risk. The book then moves on to examine more closely two models which provide the underpinning for market risk management in investment today - Style Value-at-Risk and Implicit Value-at-Risk. As well as full quantitative analysis and backtesting of each methodology, the authors go on to propose a new style model for style and implicit Var, complete with analysis, real life examples and backtesting. The authors then go on to discuss annualisation issues and risk return before moving on to propose a new model based on the authors own Best Choice Implicit VaR approach, incorporating quantitative analysis, market results and backtesting and also its potential for new hedge fund clone products. This book is the only guide to VaR for Hedge Funds and will prove to be an invaluable resource as we embark into an era of increasing volatility and uncertainty.

Credit Risk Modelling

Credit Risk Modelling
The Cutting-edge Collection : Technical Papers Published in Risk 1999-2003

by Michael B. Gordy

  • Publisher : Unknown Publisher
  • Release : 2003
  • Pages : 278
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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A unique volume that brings together the most innovative and instrumental papers on credit risk modelling to reflect the major developments to date. This volume also focuses on the influences that are currently shaping the industry.

Wall Street & Technology

Wall Street & Technology
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2005
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Three Essays in the Use of Option Pricing Theory

Three Essays in the Use of Option Pricing Theory
A Book

by Jeremy Joseph Evnine

  • Publisher : Unknown Publisher
  • Release : 1983
  • Pages : 274
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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The first essay presents an extension of the Cox-Ross-Rubinstein simplified approach to Option pricing. In this approach, a discrete time binomial model is used to value an option on a single asset by arbitrage considerations. By taking this model to the limit in the appropriate way, the well known continuous time models (eg. Black-Scholes) may be elegantly derived. This essay shows how to extend the binomial approach to the case of multiple stochastic process. It is shown how this technique may be used to value options on a portfolio, stock options in the presence of stochastic interest rates, etc. Finally, some insight into the technique is gained by demonstrating the results of erroneous application of the method.

Systemic Risk

Systemic Risk
A Survey

by Olivier de Bandt,Philipp Hartmann

  • Publisher : Unknown Publisher
  • Release : 2000
  • Pages : 90
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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On the Nature of Risk in the Foreign Exchange Markets

On the Nature of Risk in the Foreign Exchange Markets
Evidence from the Dollar and the EMS Markets

by Paul de Grauwe

  • Publisher : Unknown Publisher
  • Release : 1989
  • Pages : 38
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Credit Risk Diversification of Commercial Mortgage Portfolios

Credit Risk Diversification of Commercial Mortgage Portfolios
A Book

by Brian A. Ciochetti

  • Publisher : Unknown Publisher
  • Release : 1995
  • Pages : 804
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Directory of Pension Funds and Their Investment Managers

Directory of Pension Funds and Their Investment Managers
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2008
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Largest pension and tax-exempt funds.

Dissertation Abstracts International

Dissertation Abstracts International
The humanities and social sciences. A

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2009-04
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Introduction to Risk Parity and Budgeting

Introduction to Risk Parity and Budgeting
A Book

by Thierry Roncalli

  • Publisher : CRC Press
  • Release : 2013-07-16
  • Pages : 440
  • ISBN : 148220715X
  • Language : En, Es, Fr & De
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Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global financial crisis in 2008. Today, pension funds and institutional investors are using this approach in the development of smart indexing and the redefinition of long-term investment policies. Written by a well-known expert of asset management and risk parity, Introduction to Risk Parity and Budgeting provides an up-to-date treatment of this alternative method to Markowitz optimization. It builds financial exposure to equities and commodities, considers credit risk in the management of bond portfolios, and designs long-term investment policy. The first part of the book gives a theoretical account of portfolio optimization and risk parity. The author discusses modern portfolio theory and offers a comprehensive guide to risk budgeting. Each chapter in the second part presents an application of risk parity to a specific asset class. The text covers risk-based equity indexation (also called smart beta) and shows how to use risk budgeting techniques to manage bond portfolios. It also explores alternative investments, such as commodities and hedge funds, and applies risk parity techniques to multi-asset classes. The book’s first appendix provides technical materials on optimization problems, copula functions, and dynamic asset allocation. The second appendix contains 30 tutorial exercises. Solutions to the exercises, slides for instructors, and Gauss computer programs to reproduce the book’s examples, tables, and figures are available on the author’s website.

Euler Equation Errors

Euler Equation Errors
A Book

by Martin Lettau

  • Publisher : Unknown Publisher
  • Release : 2005
  • Pages : 35
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Modern Portfolio Theory, the Capital Asset Pricing Model, and Arbitrage Pricing Theory

Modern Portfolio Theory, the Capital Asset Pricing Model, and Arbitrage Pricing Theory
A User's Guide

by Diana R. Harrington

  • Publisher : Prentice Hall
  • Release : 1987
  • Pages : 229
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Agricultural Finance Review

Agricultural Finance Review
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 1992
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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