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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.

Investment management --- Portfolio management --- -Risk management --- -332.6 --- Insurance --- Management --- Investment analysis --- Investments --- Securities --- Electronic information resources --- E-books --- AA / International- internationaal --- 339.42 --- 305.91 --- Financiële analyse. --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Portfolio management. --- Portfolios. --- Risk management. --- Risk management --- Finance --- Investment & Speculation --- Business & Economics --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Financiële analyse

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Gestion du risque --- Risque financier --- Gestion de portefeuille --- Modèles mathématiques. --- AA / International- internationaal --- 305.91 --- 305.6 --- 339.40 --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Risicotheorie, speltheorie. Risicokapitaal. Beslissingsmodellen. --- Vermogenbeheer. financiële analyse (algemeenheden). --- Modèles mathématiques. --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Risicotheorie, speltheorie. Risicokapitaal. Beslissingsmodellen --- Vermogenbeheer. financiële analyse (algemeenheden)

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Money market. Capital market --- International financial management --- AA / International- internationaal --- 305.91 --- 333.632.0 --- 339.42 --- Fixed-income securities. --- Risk management. --- 658.155 --- Insurance --- Management --- Fixed-income investments --- Fixed-income securities --- Investments, Fixed-income --- Securities, Fixed-income --- Securities --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Obligaties: algemeenheden. --- Financiële analyse. --- Law and legislation --- Risk management --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Obligaties: algemeenheden --- Financiële analyse

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La convergence de la gestion alternative et de la gestion traditionnelle, d'une part, l'émergence de la gestion quantitative, d'autre part, reflètent la profonde mutation de la gestion d'actifs. Ce livre propose d'aborder ces différents thèmes, tous fondés sur le contrôle du risque et les modèles d'allocation d'actifs. Cet ouvrage offre un panorama des différentes modalités de la gestion quantitative, allant de la gestion indicielle à la gestion hedge funds en passant par les gestions structurée, diversifiée, profilée ou de performance absolue. L'ouvrage présente également les différentes stratégies quantitatives que sont les stratégies de réplication, d'allocation, d'options, de volatilité, d'arbitrage ou encore les stratégies trend following et mean reverting. Il montre en particulier comment l'optimisation de portefeuille, l'économétrie financière et les stratégies de gestion s'emboîtent pour former une stratégie quantitative. Il contient de nombreux exemples et illustrations portant sur les différentes classes d'actifs (actions, taux d'intérêt, change et matières premières). Ce livre s'adresse aux étudiants de master, qui veulent devenir des "quants" et travailler dans la finance quantitative, et aux professionnels qui cherchent à mieux comprendre les modèles mathématiques et statistiques utilisés dans la gestion d'actifs.

Gestion de portefeuille --- Affectation de l'actif --- Crédit --- Risque financier --- Actifs financiers --- Modèles mathématiques --- Gestion --- Modèles économétriques --- Portfolio management --- Mathematical models --- AA / International- internationaal --- 305.91 --- 339.41 --- 339.42 --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Vermogensbeheer. --- Financiële analyse. --- Crédit --- Modèles mathématiques --- Modèles économétriques --- Investment management --- Investment analysis --- Investments --- Securities --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Vermogensbeheer --- Financiële analyse --- Instruments financiers --- Portfolio management - Mathematical models - Textbooks

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The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac. The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets. Counterparty risk is now a key problem for all financial institutions. This book explains the emergence of c

Private finance --- International finance --- Derivative securities --- Risk management. --- Mathematical models. --- -AA / International- internationaal --- Risk management --- 333.109 --- 333.605 --- 333.70 --- 305.91 --- 332.6457 --- Insurance --- Management --- Derivative financial instruments --- Derivative financial products --- Derivative instruments --- Derivatives (Finance) --- Financial derivatives --- Securities --- Structured notes (Securities) --- Mathematical models --- Veiligheid. Bankovervallen. Bankrisico's. --- Nieuwe financiële instrumenten. --- Theorie en organisatie van het bankkrediet. --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- AA / International- internationaal --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Veiligheid. Bankovervallen. Bankrisico's --- Nieuwe financiële instrumenten --- Theorie en organisatie van het bankkrediet --- Risque financier