Connor / Goldberg / Korajczyk Portfolio Risk Analysis

Course Book
ISBN: 978-1-4008-3529-4
Verlag: De Gruyter
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 400 Seiten

No detailed description available for "Portfolio Risk Analysis".

Autoren/Hrsg.

Connor, Gregory

Goldberg, Lisa R.

Korajczyk, Robert A.

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Wirtschaftsprognose
• Interdisziplinäres Wissenschaften Wissenschaften: Forschung und Information Risikobewertung, Risikotheorie
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Versicherungswirtschaft
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines

Inhaltsverzeichnis

Acknowledgments xi

Introduction xiii

Key Notation xix

Chapter 1: Measures of Risk and Return 1

1.1 Measuring Return 1

1.2 The Key Portfolio Risk Measures 6

1.3 Risk–Return Preferences and Portfolio Optimization 12

1.4 The Capital Asset Pricing Model and Its Applications to Risk Analysis 23

1.5 The Objectives and Limitations of Portfolio Risk Analysis 31

Chapter 2: Unstructured Covariance Matrices 36

2.1 Estimating Return Covariance Matrices 36

2.2 The Error-Maximization Problem 47

2.3 Portfolio Choice as Decision Making under Uncertainty 54

Chapter 3: Industry and Country Risk 61

3.1 Industry–Country Component Models 61

3.2 Empirical Evidence on the Relative Magnitudes of Country and Industry Risks 73

3.3 Sector–Currency Models of Corporate Bond Returns 77

Chapter 4: Statistical Factor Analysis 79

4.1 Types of Factor Models 79

4.2 Approximate Factor Models 82

4.3 The Arbitrage Pricing Theory 86

4.4 Small-n Estimation Methods 88

4.5 Large-n Estimation Methods 93

4.6 Number of Factors 98

Chapter 5: The Macroeconomy and Portfolio Risk 101

5.1 Estimating Macroeconomic Factor Models 101

5.2 Event Studies of Macroeconomic Announcements 110

5.3 Macroeconomic Policy Endogeneity 112

5.4 Business Cycle Betas 115

5.5 Empirical Fit and the Relative Value of Macroeconomic Factor Models 116

Chapter 6: Security Characteristics and Pervasive Risk Factors 117

6.1 Equity and Fixed-Income Characteristics 117

6.2 Characteristic-Based Factor Models of Equities 122

6.3 The Fama–French Model and Extensions 130

6.4 The Semiparametric Approach to Characteristic-Based Factor Models 132

Chapter 7: Measuring and Hedging Foreign Exchange Risk 134

7.1 Definitions of Foreign Exchange Risk 134

7.2 Optimal Currency Hedging 142

7.3 Currency Covariances with Stock and Bond Returns 149

7.4 Macroeconomic Influences on Currency Returns 151

Chapter 8: Integrated Risk Models 155

8.1 Global and Regional Integration Trends 155

8.2 Risk Integration across Asset Classes 158

8.3 Segmented Asset Allocation and Security Selection 159

8.4 Integrated Risk Models 162

Chapter 9: Dynamic Volatilities and Correlations 167

9.1 GARCH Models 167

9.2 Stochastic Volatility Models 178

9.3 Time Aggregation 180

9.4 Downside Correlation 181

9.5 Option-Implied Volatility 184

9.6 The Volatility Term Structure at Long Horizons 187

9.7 Time-Varying Cross-Sectional Dispersion 188

Chapter 10: Portfolio Return Distributions 191

10.1 Characterizing Return Distributions 191

10.2 Estimating Return Distributions 196

10.3 Tail Risk 203

10.4 Nonlinear Dependence between Asset Returns 207

Chapter 11: Credit Risk 212

11.1 Agency Ratings and Factor Models of Spread Risk 213

11.2 Rating Transitions and Default 217

11.3 Credit Instruments 218

11.4 Conceptual Approaches to Credit Risk 220

11.5 Recovery at Default 232

11.6 Portfolio Credit Models 232

11.7 The 2007–8 Credit-Liquidity Crisis 238

Chapter 12: Transaction Costs and Liquidity Risk 241

12.1 Some Basic Terminology 241

12.2 Measuring Transactions Cost 246

12.3 Statistical Properties of Liquidity 261

12.4 Optimal Trading Strategies and Transaction Costs 266

Chapter 13: Alternative Asset Classes 271

13.1 Nonsynchronous Pricing and Smoothed Returns 271

13.2 Time-Varying Risk, Nonlinear Payoff, and Style Drift 284

13.3 Selection and Survivorship Biases 291

13.4 Collectibles: Measuring Return and Risk with Infrequent and Error-Prone Observations 295

13.5 Summary 298

Chapter 14: Performance Measurement 299

14.1 Return-Based Performance Measurement 299

14.2 Holdings-Based Performance Measurement and Attribution 303

14.3 Volatility Forecast Evaluation 309

14.4 Value-at-Risk Hit Rates 316

14.5 Forecast and Realized Return Densities 317

Chapter 15: Conclusion 319

15.1 Some Key Messages 319

15.2 Questions for Future Research 320

References 323

Index 345

Über Autor(innen)

Gregory Connor 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 executive director of analytic initiatives at MSCI Barra and adjunct professor of statistics at the University of California, Berkeley. Robert A. Korajczyk is professor of finance at Northwestern University.