Portfolio Risk Analysis

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9780691128283: Portfolio Risk Analysis

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.

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Connor, Gregory, Goldberg, Lisa R., Kora
Edité par Princeton University Press (2010)
ISBN 10 : 0691128286 ISBN 13 : 9780691128283
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Description du livre Princeton University Press, 2010. Hardcover. État : New. N° de réf. du libraire P110691128286

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Gregory Connor
Edité par Princeton University Press (2010)
ISBN 10 : 0691128286 ISBN 13 : 9780691128283
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Description du livre Princeton University Press, 2010. HRD. État : New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. N° de réf. du libraire WP-9780691128283

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Gregory Connor, Lisa R. Goldberg, Robert A. Korajczyk
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ISBN 10 : 0691128286 ISBN 13 : 9780691128283
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Description du livre Princeton University Press, United States, 2010. Hardback. État : New. 236 x 157 mm. Language: English . Brand New Book. 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. N° de réf. du libraire AAZ9780691128283

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Gregory Connor, Lisa R. Goldberg, Robert A. Korajczyk
Edité par Princeton University Press, United States (2010)
ISBN 10 : 0691128286 ISBN 13 : 9780691128283
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The Book Depository
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Description du livre Princeton University Press, United States, 2010. Hardback. État : New. 236 x 157 mm. Language: English . Brand New Book. 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. N° de réf. du libraire AAZ9780691128283

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Connor, Gregory; Goldberg, Lisa R.; Korajczyk, Robert A.
Edité par Princeton University Press (2010)
ISBN 10 : 0691128286 ISBN 13 : 9780691128283
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Description du livre Princeton University Press, 2010. Hardcover. État : New. book. N° de réf. du libraire 0691128286

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Gregory Connor
Edité par Princeton University Press 2010-03-15 (2010)
ISBN 10 : 0691128286 ISBN 13 : 9780691128283
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Chiron Media
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Description du livre Princeton University Press 2010-03-15, 2010. État : New. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. N° de réf. du libraire NU-LBR-00507201

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Gregory Connor, Lisa R. Goldberg, Robert A. Korajczyk
Edité par Princeton University Press 2010-03-15, New Jersey (2010)
ISBN 10 : 0691128286 ISBN 13 : 9780691128283
Neuf(s) Couverture rigide Quantité : 1
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Blackwell's
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Description du livre Princeton University Press 2010-03-15, New Jersey, 2010. hardback. État : New. N° de réf. du libraire 9780691128283

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Gregory Connor, Lisa R. Goldberg, Robert A. Korajczyk
Edité par Princeton University Press
ISBN 10 : 0691128286 ISBN 13 : 9780691128283
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THE SAINT BOOKSTORE
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Description du livre Princeton University Press. Hardback. État : new. BRAND NEW, Portfolio Risk Analysis, Gregory Connor, Lisa R. Goldberg, Robert A. Korajczyk, 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. N° de réf. du libraire B9780691128283

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Connor, Gregory; Goldberg, Lisa R.; Korajczyk, Robert A.
Edité par Princeton University Press (2010)
ISBN 10 : 0691128286 ISBN 13 : 9780691128283
Neuf(s) Couverture rigide Quantité : 1
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Description du livre Princeton University Press, 2010. État : New. Presents an overview of financial risk modeling, with a focus on practical applications, empirical reality, and historical perspective. Covering the mean-variance analysis and the capital asset pricing model, this title offers an account of factor models, which are the key to successful risk analysis in every economic climate. Num Pages: 400 pages, Illustrations. BIC Classification: KCJ. Category: (UP) Postgraduate, Research & Scholarly. Dimension: 240 x 162 x 30. Weight in Grams: 668. . 2010. Hardcover. . . . . . N° de réf. du libraire V9780691128283

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10.

Gregory Connor
Edité par Princeton Univers. Press Apr 2010 (2010)
ISBN 10 : 0691128286 ISBN 13 : 9780691128283
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AHA-BUCH GmbH
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Description du livre Princeton Univers. Press Apr 2010, 2010. Buch. État : Neu. 244x164x37 mm. Neuware - 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. 400 pp. Englisch. N° de réf. du libraire 9780691128283

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