December 2, 2020

Download Ebook Free Multi-Asset Risk Modeling

Multi-Asset Risk Modeling

Multi-Asset Risk Modeling
Author : Morton Glantz,Robert Kissell
Publisher : Academic Press
Release Date : 2013-12-03
Category : Business & Economics
Total pages :544
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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

Multi-Asset Investing

Multi-Asset Investing
Author : Pranay Gupta,Sven R. Skallsjo,Bing Li
Publisher : John Wiley & Sons
Release Date : 2016-05-16
Category : Business & Economics
Total pages :296
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"It is best described as that part of academic wisdom that the authors have found useful in actually managing assets, coupled with heuristics that they have developed over the last decade"--

The New Science of Asset Allocation

The New Science of Asset Allocation
Author : Thomas Schneeweis,Garry B. Crowder,Hossein B. Kazemi
Publisher : John Wiley & Sons
Release Date : 2010-02-12
Category : Business & Economics
Total pages :320
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A feasible asset allocation framework for the post 2008 financial world Asset allocation has long been a cornerstone of prudent investment management; however, traditional allocation plans failed investors miserably in 2008. Asset allocation still remains an essential part of the investment arena, and through a new approach, you'll discover how to make it work. In The New Science of Asset Allocation, authors Thomas Schneeweis, Garry Crowder, and Hossein Kazemi first explore the myths that plague this field then quickly move on to examine how the practice of asset allocation has failed in recent years. They then propose new allocation models that employ liquidity, transparency, and real risk controls across multiple asset classes. Outlines a new approach to asset allocation in a post-2008 world, where risk seems hidden The "great manager" problem is examined with solutions on how to capture manager alpha while limiting downside risk A complete case study is presented that allocates for beta and alpha Written by an experienced team of industry leaders and academic experts, The New Science of Asset Allocation explains how you can effectively apply this approach to a financial world that continues to change.

Portfolio Risk Analysis

Portfolio Risk Analysis
Author : Gregory Connor,Lisa R. Goldberg,Robert A. Korajczyk
Publisher : Princeton University Press
Release Date : 2010-03-15
Category : Business & Economics
Total pages :400
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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.

Multi Asset Class Investment Strategy

Multi Asset Class Investment Strategy
Author : Guy Fraser-Sampson
Publisher : John Wiley & Sons
Release Date : 2006-07-11
Category : Business & Economics
Total pages :320
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The book explains that instead of asset allocation being set in an isolated and arbitrary fashion, it is in fact the way in which specific hurdle investment returns can be targeted, and that this approach is already in use in the US (and has been for many years). It involves extended and detailed financial analysis of various asset class returns and proposes a five-asset class approach for future use. Opening with a study of the historic asset allocation practice of UK pension funds, the book shows how the current approach has led to the present funding crisis. It goes on to compare and contrast the UK approach with that of the US and to propose a new approach to UK asset allocation: the five asset class approach ("MAC Investing"). The book reviews and analyses different asset classes based on historic returns, examines risk, and concludes with a suggestion of the five asset classes to use; Quoted equities (both Domestic and foreign), hedge funds, private equity and property. This book also includes benchmark performance figures never previously published.

Portfolio Construction Techniques applied to Traditional Multi Asset Portfolios

Portfolio Construction Techniques applied to Traditional Multi Asset Portfolios
Author : Marc Böttinger
Publisher : Marc Böttinger
Release Date : 2020
Category : Education
Total pages :129
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In this paper we describe the history of different portfolio construction approaches from a simple Risk Parity approach and its extension Equal Risk Contribution over Markovitz mean-variance to conditional Value-at-Risk and others like minimum Value-at-Risk or Average Drawdown. We implement the portfolio construction methodologies in Python and estimate a set of risk and performance metrics. We apply the approaches on a traditional multi asset portfolio and empirically show that a particular approach dominates the others in most metrics.

Essays on Fitting Factor Models for Asset Returns

Essays on Fitting Factor Models for Asset Returns
Author : Sangeetha Srinivasan
Publisher : Unknown
Release Date : 2018
Category :
Total pages :184
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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.

Investment Risk and Uncertainty

Investment Risk and Uncertainty
Author : Steven P. Greiner
Publisher : John Wiley & Sons
Release Date : 2013-03-14
Category : Business & Economics
Total pages :608
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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.

Factor Investing and Asset Allocation: A Business Cycle Perspective

Factor Investing and Asset Allocation: A Business Cycle Perspective
Author : Vasant Naik,Mukundan Devarajan,Andrew Nowobilski ,Sébastien Page, CFA,Niels Pedersen
Publisher : CFA Institute Research Foundation
Release Date : 2016-12-30
Category : Business & Economics
Total pages :190
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Algorithmic Trading Methods

Algorithmic Trading Methods
Author : Robert Kissell
Publisher : Academic Press
Release Date : 2020-09-08
Category : Business & Economics
Total pages :612
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Algorithmic Trading Methods: Applications using Advanced Statistics, Optimization, and Machine Learning Techniques, Second Edition, is a sequel to The Science of Algorithmic Trading and Portfolio Management. This edition includes new chapters on algorithmic trading, advanced trading analytics, regression analysis, optimization, and advanced statistical methods. Increasing its focus on trading strategies and models, this edition includes new insights into the ever-changing financial environment, pre-trade and post-trade analysis, liquidation cost & risk analysis, and compliance and regulatory reporting requirements. Highlighting new investment techniques, this book includes material to assist in the best execution process, model validation, quality and assurance testing, limit order modeling, and smart order routing analysis. Includes advanced modeling techniques using machine learning, predictive analytics, and neural networks. The text provides readers with a suite of transaction cost analysis functions packaged as a TCA library. These programming tools are accessible via numerous software applications and programming languages. Provides insight into all necessary components of algorithmic trading including: transaction cost analysis, market impact estimation, risk modeling and optimization, and advanced examination of trading algorithms and corresponding data requirements. Increased coverage of essential mathematics, probability and statistics, machine learning, predictive analytics, and neural networks, and applications to trading and finance. Advanced multiperiod trade schedule optimization and portfolio construction techniques. Techniques to decode broker-dealer and third-party vendor models. Methods to incorporate TCA into proprietary alpha models and portfolio optimizers. TCA library for numerous software applications and programming languages including: MATLAB, Excel Add-In, Python, Java, C/C++, .Net, Hadoop, and as standalone .EXE and .COM applications.

Stochastic Calculus for Finance II

Stochastic Calculus for Finance II
Author : Steven E. Shreve
Publisher : Springer Science & Business Media
Release Date : 2004-06-03
Category : Business & Economics
Total pages :550
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"A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written text that treats the key classical models of finance through an applied probability approach....It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance." --SIAM

Certified Credit Research Analyst (CCRA) Brochure

Certified Credit Research Analyst (CCRA) Brochure
Author : Aditya Gade,Biharilal Deora
Publisher : AIWMI
Release Date : 2015-02-16
Category : Business & Economics
Total pages :4
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The Certified Credit Research Analyst (CCRATM) is a comprehensive global education program designed to give an expert level understanding of credit markets to fresh graduates and experienced professionals. It integrates the fundamentals of financial analysis, credit analysis, rating methodologies, credit strategy and structuring. It offers the tools a candidate needs to occupy key positions in the world of finance, private banking, credit ratings and fixed income domain.

Multi-moment Asset Allocation and Pricing Models

Multi-moment Asset Allocation and Pricing Models
Author : Emmanuel Jurczenko,Bertrand Maillet
Publisher : John Wiley & Sons
Release Date : 2006-10-02
Category : Business & Economics
Total pages :258
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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.

HIGH YIELD BONDS

HIGH YIELD BONDS
Author : Mark Shenkman,Theodore M. Barnhill
Publisher : McGraw Hill Professional
Release Date : 1999-04-21
Category : Business & Economics
Total pages :574
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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.

Quantitative Corporate Finance

Quantitative Corporate Finance
Author : John B. Guerard, Jr.,Eli Schwartz
Publisher : Springer Science & Business Media
Release Date : 2007-11-19
Category : Business & Economics
Total pages :542
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The book addresses several problems in contemporary corporate finance: optimal capital structure, both in the US and in the G7 economies; the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Model (APT) and the implications for the cost of capital; dividend policy; sales forecasting and pro forma statement analysis; leverage and bankruptcy; and mergers and acquisitions. It is designed to be used as an advanced graduate corporate financial management textbook.