Quantitative Risk And Portfolio Management
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Quantitative Risk And Portfolio Management
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Author : Kenneth Winston
language : en
Publisher: Cambridge University Press
Release Date : 2023-09-30
Quantitative Risk And Portfolio Management written by Kenneth Winston and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-09-30 with Business & Economics categories.
A book combining the rigour of academic finance with the pragmatism of hands-on finance.
Quantitative Risk And Portfolio Management
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Author : Kenneth J. Winston
language : en
Publisher: Cambridge University Press
Release Date : 2023-09-21
Quantitative Risk And Portfolio Management written by Kenneth J. Winston and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-09-21 with Business & Economics categories.
A modern introduction to risk and portfolio management for advanced undergraduate and beginning graduate students who will become practitioners in the field of quantitative finance, including extensive live data and Python code as online supplements which allow the application of theory to real-world situations.
Quantitative Risk And Portfolio Management
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Author : Kenneth James Winston
language : en
Publisher:
Release Date : 2023
Quantitative Risk And Portfolio Management written by Kenneth James Winston and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with Financial risk management categories.
"A modern introduction to risk and portfolio management for advanced undergraduate and beginning graduate students who will become practitioners in the field of quantitative finance, including extensive live data and Python code which allow the application of theory to real-world situations"--
Quantitative Portfolio Optimisation Asset Allocation And Risk Management
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Author : M. Rasmussen
language : en
Publisher: Springer
Release Date : 2002-12-13
Quantitative Portfolio Optimisation Asset Allocation And Risk Management written by M. Rasmussen and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-12-13 with Business & Economics categories.
Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.
Innovations In Quantitative Risk Management
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Author : Kathrin Glau
language : en
Publisher: Springer
Release Date : 2015-01-09
Innovations In Quantitative Risk Management written by Kathrin Glau and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-01-09 with Mathematics categories.
Quantitative models are omnipresent –but often controversially discussed– in todays risk management practice. New regulations, innovative financial products, and advances in valuation techniques provide a continuous flow of challenging problems for financial engineers and risk managers alike. Designing a sound stochastic model requires finding a careful balance between parsimonious model assumptions, mathematical viability, and interpretability of the output. Moreover, data requirements and the end-user training are to be considered as well. The KPMG Center of Excellence in Risk Management conference Risk Management Reloaded and this proceedings volume contribute to bridging the gap between academia –providing methodological advances– and practice –having a firm understanding of the economic conditions in which a given model is used. Discussed fields of application range from asset management, credit risk, and energy to risk management issues in insurance. Methodologically, dependence modeling, multiple-curve interest rate-models, and model risk are addressed. Finally, regulatory developments and possible limits of mathematical modeling are discussed.
Quantitative Financial Risk Management
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Author : Constantin Zopounidis
language : en
Publisher: John Wiley & Sons
Release Date : 2015-06-08
Quantitative Financial Risk Management written by Constantin Zopounidis 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 2015-06-08 with Business & Economics categories.
A Comprehensive Guide to Quantitative Financial Risk Management Written by an international team of experts in the field, Quantitative Financial Risk Management: Theory and Practice provides an invaluable guide to the most recent and innovative research on the topics of financial risk management, portfolio management, credit risk modeling, and worldwide financial markets. This comprehensive text reviews the tools and concepts of financial management that draw on the practices of economics, accounting, statistics, econometrics, mathematics, stochastic processes, and computer science and technology. Using the information found in Quantitative Financial Risk Management can help professionals to better manage, monitor, and measure risk, especially in today's uncertain world of globalization, market volatility, and geo-political crisis. Quantitative Financial Risk Management delivers the information, tools, techniques, and most current research in the critical field of risk management. This text offers an essential guide for quantitative analysts, financial professionals, and academic scholars.
Market Risk Analysis Quantitative Methods In Finance
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Author : Carol Alexander
language : en
Publisher: John Wiley & Sons
Release Date : 2008-04-30
Market Risk Analysis Quantitative Methods In Finance written by Carol Alexander 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 2008-04-30 with Business & Economics categories.
Written by leading market risk academic, Professor Carol Alexander, Quantitative Methods in Finance forms part one of the Market Risk Analysis four volume set. Starting from the basics, this book helps readers to take the first step towards becoming a properly qualified financial risk manager and asset manager, roles that are currently in huge demand. Accessible to intelligent readers with a moderate understanding of mathematics at high school level or to anyone with a university degree in mathematics, physics or engineering, no prior knowledge of finance is necessary. Instead the emphasis is on understanding ideas rather than on mathematical rigour, meaning that this book offers a fast-track introduction to financial analysis for readers with some quantitative background, highlighting those areas of mathematics that are particularly relevant to solving problems in financial risk management and asset management. Unique to this book is a focus on both continuous and discrete time finance so that Quantitative Methods in Finance is not only about the application of mathematics to finance; it also explains, in very pedagogical terms, how the continuous time and discrete time finance disciplines meet, providing a comprehensive, highly accessible guide which will provide readers with the tools to start applying their knowledge immediately. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Principal component analysis of European equity indices; Calibration of Student t distribution by maximum likelihood; Orthogonal regression and estimation of equity factor models; Simulations of geometric Brownian motion, and of correlated Student t variables; Pricing European and American options with binomial trees, and European options with the Black-Scholes-Merton formula; Cubic spline fitting of yields curves and implied volatilities; Solution of Markowitz problem with no short sales and other constraints; Calculation of risk adjusted performance metrics including generalised Sharpe ratio, omega and kappa indices.
Quantitative Portfolio Management
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Author : Pierre Brugière
language : en
Publisher: Springer Nature
Release Date : 2020-03-28
Quantitative Portfolio Management written by Pierre Brugière and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-03-28 with Mathematics categories.
This self-contained book presents the main techniques of quantitative portfolio management and associated statistical methods in a very didactic and structured way, in a minimum number of pages. The concepts of investment portfolios, self-financing portfolios and absence of arbitrage opportunities are extensively used and enable the translation of all the mathematical concepts in an easily interpretable way. All the results, tested with Python programs, are demonstrated rigorously, often using geometric approaches for optimization problems and intrinsic approaches for statistical methods, leading to unusually short and elegant proofs. The statistical methods concern both parametric and non-parametric estimators and, to estimate the factors of a model, principal component analysis is explained. The presented Python code and web scraping techniques also make it possible to test the presented concepts on market data. This book will be useful for teaching Masters students and for professionals in asset management, and will be of interest to academics who want to explore a field in which they are not specialists. The ideal pre-requisites consist of undergraduate probability and statistics and a familiarity with linear algebra and matrix manipulation. Those who want to run the code will have to install Python on their pc, or alternatively can use Google Colab on the cloud. Professionals will need to have a quantitative background, being either portfolio managers or risk managers, or potentially quants wanting to double check their understanding of the subject.
Market Risk Management For Hedge Funds
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Author : Francois Duc
language : en
Publisher: John Wiley & Sons
Release Date : 2010-04-01
Market Risk Management For Hedge Funds written by Francois Duc 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 2010-04-01 with Business & Economics categories.
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.
Quantitative Risk Management
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Author : Rudiger Frey
language : en
Publisher:
Release Date : 2010
Quantitative Risk Management written by Rudiger Frey and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.