Portfolio risk analysis by Gregory Connor.

Portfolio risk forecasting is 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. An insightful and thorough overview of financial risk modeling includes an emphasis on practical applications, empirical reality, and historical perspective.

The authors give a detailed account of factor models, which are the key to successful risk analysis in every economic climate, beginning with mean-variance analysis and capital asset pricing model. Topics include the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models. The book covers both mainstream and alternative asset classes. Credit risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. Each topic has a literature review with it. Basic modeling techniques are complemented by references to applications, empirical studies, and advanced mathematical texts by the authors.

Financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets should read this book. Portfolio risk analysis by Gregory Connor.

FROM THE BACK COVER

This is a comprehensive treatment of techniques for portfolio risk management. From the basics to practical applications, it provides a unique perspective. There aren’t many books that cover this in this way. Christopher L. Culp is an author. Portfolio risk analysis is done by Gregory Connor.

The coverage is deep and the range of topics is wide. An impressive book. Peter Christoffersen is a professor at the university.

The book’s conceptual framework is presented in a clear manner. The treatment is rigorous without being pedantic or cutting corners. The Royal Bank of Scotland has a Portfolio Risk Analysis.

The book takes major steps forward in the important area of portfolio risk measurement, making significant strides toward incorporating industry and country risk. It will be used by academics, central bankers, and others in the financial services industry. The University of Pennsylvania has a professor named Francis X. Diebold.

ABOUT THE AUTHOR

GregoryConnor is professor of finance at the National University of Ireland, Maynooth, and senior research associate at the London School of Economics and Political Science. Lisa R. Goldberg is a professor at the University of California, Berkeley. Robert A. Korajczyk is a professor at the university.