Multi Asset Risk Modeling

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Multi Asset Risk Modeling

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Author : Morton Glantz
language : en
Publisher: Academic Press
Release Date : 2013-12-03

Multi Asset Risk Modeling written by Morton Glantz and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-03 with Business & Economics categories.

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

Fundamentals Of Institutional Asset Management

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Author : Frank J Fabozzi
language : en
Publisher: World Scientific
Release Date : 2020-10-12

Fundamentals Of Institutional Asset Management written by Frank J Fabozzi and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-10-12 with Business & Economics categories.

This book provides the fundamentals of asset management. It takes a practical perspective in describing asset management. Besides the theoretical aspects of investment management, it provides in-depth insights into the actual implementation issues associated with investment strategies. The 19 chapters combine theory and practice based on the experience of the authors in the asset management industry. The book starts off with describing the key activities involved in asset management and the various forms of risk in managing a portfolio. There is then coverage of the different asset classes (common stock, bonds, and alternative assets), collective investment vehicles, financial derivatives, common stock analysis and valuation, bond analytics, equity beta strategies (including smart beta), equity alpha strategies (including quantitative/systematic strategies), bond indexing and active bond portfolio strategies, and multi-asset strategies. The methods of using financial derivatives (equity derivatives, interest rate derivatives, and credit derivatives) in managing the risks of a portfolio are clearly explained and illustrated.

Introduction To Risk Parity And Budgeting

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Author : Thierry Roncalli
language : en
Publisher: CRC Press
Release Date : 2016-04-19

Introduction To Risk Parity And Budgeting written by Thierry Roncalli and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-19 with Business & Economics categories.

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 fina

Risk And Asset Allocation

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Author : Attilio Meucci
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-05-22

Risk And Asset Allocation written by Attilio Meucci and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-05-22 with Business & Economics categories.

Discusses in the practical and theoretical aspects of one-period asset allocation, i.e. market Modeling, invariants estimation, portfolia evaluation, and portfolio optimization in the prexence of estimation risk The book is software based, many of the exercises simulate in Matlab the solution to practical problems and can be downloaded from the book's web-site

Multi Asset Investing

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Author : Pranay Gupta
language : en
Publisher: John Wiley & Sons
Release Date : 2016-05-16

Multi Asset Investing written by Pranay Gupta and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-16 with Business & Economics categories.

Despite the accepted fact that a substantial part of the risk and return of any portfolio comes from asset allocation, we find today that the majority of investment professionals worldwide are focused on security selection. Multi-Asset Investing: A Practitioner’s Framework questions this basic structure of the investment process and investment industry. Who says we have to separate alpha and beta? Are the traditional definitions for risk and risk premium relevant in a multi-asset class world? Do portfolios cater for the ‘real risks’ in their investment processes? Does the whole Emerging Markets demarcation make sense for investing? Why do active Asian managers perform much poorer compared to developed market managers? Can you distinguish how much of a strategy’s performance comes from skill rather than luck? Does having a performance fee for your manager create alignment or misalignment? Why is the asset management transitioning from multi-asset strategies to multi-asset solutions? These and many other questions are asked, and suggestions provided as potential solutions. Having worked together for fifteen years, the authors’ present implementable solutions which have helped them successfully manage large asset pools. The Academic Perspective “Multi-Asset Investing asks fundamental questions about the asset allocation investment processes in use today, and can have a substantial impact on the future structure of the finance industry. It clarifies and distils the techniques that investment professionals need to master to add value to client portfolios.” —Paul Smith, President & CEO, CFA Institute “Pranay Gupta, Sven Skallsjo, and Bing Li describe the essential concepts and applications of multi-asset investing. Their treatment is far ranging and exceptionally lucid, and always with a nod to practical application. Buy this book and keep it close at hand.” —Mark Kritzman, MIT Sloane School of Management “Innovative solutions to some of the most difficult investment problems we are faced with today. Multi-asset Investing tackles investment issues which don’t have straight forward solutions, but nevertheless are faced by every investment professional. This book sets the standard for investment processes of all asset managers.” —SP Kothari, MIT Sloane School of Management The Asset Owner Perspective “Multi-asset means different things to different people. This is the first text that details a comprehensive framework for managing any kind of multi-asset investment problem. Further, its explanation of the commercial aspects of managing a multi-asset investment business for an asset manager, private bank or asset owner make it an indispensable tool” —Sadayuki Horie, Dy. Chairman - Investment Advisory Comm., Government Pension Investment Fund, Japan “Multi-Asset Investing shows the substantial scope there is to innovate the asset allocation process. With its novel approaches to allocation, portfolio construction and risk management it demonstrates the substantial value that can be added to any portfolio. The solutions proposed by Multi-Asset Investing are creative, thought provoking, and may well be the way all portfolios need to be managed in the future.” —Mario Therrien, Senior Vice President, Caisse de Depot et Placement du Quebec, Canada The Asset Manager’s Perspective “Never has astute asset allocation and diversification been more crucial than today. Asset Managers which are able to innovate their investment processes and products in this area, are more likely to be the winners. Multi-Asset Investing provides both simple and sophisticated, tested and implementable techniques for successfully managing multi-asset portfolios.” —Vincent Camerlynck, former CEO BNP Paribas Investment Partners, Asia Pacific The Investment Strategist Perspective “For plan sponsors, portfolio managers, analysts and risk managers, Multi-Asset Investing is an unparalleled guide for portfolio management. Its approach to blending the quantitative and fundamental, top-down and bottom up and the risk and return frameworks makes it a valuable tool for any kind of investment professional. It clarifies a complex subject into a series of practical ideas to help add value to any portfolio.” —Ajay S. Kapur, Chief Strategist, BOA Merrill Lynch Asia

Multi Moment Asset Allocation And Pricing Models

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Author : Emmanuel Jurczenko
language : en
Publisher: John Wiley & Sons
Release Date : 2006-10-27

Multi Moment Asset Allocation And Pricing Models written by Emmanuel Jurczenko and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-10-27 with Business & Economics categories.

While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.

Liquidity Dynamics And Risk Modeling

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Author : Mazin A. M. Al Janabi
language : en
Publisher: Springer Nature
Release Date : 2024-12-09

Liquidity Dynamics And Risk Modeling written by Mazin A. M. Al Janabi and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-12-09 with Business & Economics categories.

This book presents a high-quality contribution to the applications of modern financial algorithms for liquidity risk management and its practical uses and applications to investable portfolios and mutual funds. It brings together the latest thinking on the emerging topic of contemporary liquidity risk estimations and management and includes principles, reviews, examples, and concrete financial markets applications to trading and investment portfolios. Furthermore, it explores research directions of liquidity risk management using modified Liquidity-Adjusted Value-at-Risk (L-VaR) models with the application of machine learning optimization algorithms. The book presents specific self-contained use-cases throughout, showing practical applications of the concepts discussed and providing further directions for researchers and financial markets participants. The book draws practical insights from personal experiences and applies specific examples (with the use of real-world case studies and analysis) about how the modeling techniques and machine learning optimization algorithms could address specific theoretical and practical issues of liquidity risk management and coherent asset allocation in trading and investment portfolios. It will be of interest to researchers, students, and practitioners of risk management, portfolio management, and machine learning.

Introduction To Credit Risk Modeling

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Author : Christian Bluhm
language : en
Publisher: CRC Press
Release Date : 2016-04-19

Introduction To Credit Risk Modeling written by Christian Bluhm and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-19 with Business & Economics categories.

Contains Nearly 100 Pages of New MaterialThe recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios, Introduction to Credit Risk Modelin

Economic And Financial Modelling With Eviews

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Author : Abdulkader Aljandali
language : en
Publisher: Springer
Release Date : 2018-10-22

Economic And Financial Modelling With Eviews written by Abdulkader Aljandali and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-10-22 with Business & Economics categories.

This practical guide in Eviews is aimed at practitioners and students in business, economics, econometrics, and finance. It uses a step-by-step approach to equip readers with a toolkit that enables them to make the most of this widely used econometric analysis software. Statistical and econometrics concepts are explained visually with examples, problems, and solutions. Developed by economists, the Eviews statistical software package is used most commonly for time-series oriented econometric analysis. It allows users to quickly develop statistical relations from data and then use those relations to forecast future values of the data. The package provides convenient ways to enter or upload data series, create new series from existing ones, display and print series, carry out statistical analyses of relationships among series, and manipulate results and output. This highly hands-on resource includes more than 200 illustrative graphs and tables and tutorials throughout. Abdulkader Aljandali is Senior Lecturer at Coventry University in London. He is currently leading the Stochastic Finance Module taught as part of the Global Financial Trading MSc. His previously published work includes Exchange Rate Volatility in Emerging Markers, Quantitative Analysis, Multivariate Methods & Forecasting with IBM SPSS Statistics and Multivariate Methods and Forecasting with IBM® SPSS® Statistics. Dr Aljandali is an established member of the British Accounting and Finance Association and the Higher Education Academy. Motasam Tatahi is a specialist in the areas of Macroeconomics, Financial Economics, and Financial Econometrics at the European Business School, Regent’s University London, where he serves as Principal Lecturer and Dissertation Coordinator for the MSc in Global Banking and Finance at The European Business School-London.

Modelling Single Name And Multi Name Credit Derivatives

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Author : Dominic O'Kane
language : en
Publisher: John Wiley & Sons
Release Date : 2008-08-04

Modelling Single Name And Multi Name Credit Derivatives written by Dominic O'Kane and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-08-04 with Business & Economics categories.

Modelling Single-name and Multi-name Credit Derivatives presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk-management of credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners. This book is up-to-date as it covers many of the important developments which have occurred in the credit derivatives market in the past 4-5 years. These include the arrival of the CDS portfolio indices and all of the products based on these indices. In terms of models, this book covers the challenge of modelling single-tranche CDOs in the presence of the correlation skew, as well as the pricing and risk of more recent products such as constant maturity CDS, portfolio swaptions, CDO squareds, credit CPPI and credit CPDOs.