Quantitative Risk and Portfolio Management

ISBN-13: 9781009209045 / Twarda / 2023 / 927 str.

Kenneth J. (California Institute of Technology) Winston

Opis

A book combining the rigour of academic finance with the pragmatism of hands-on finance.

Recenzje

'This is the book that I wish I had been able to have when I switched from applied math/ engineering to applied finance more than thirty years ago. In essence, the book fills a very important void: how to approach financial engineering problems from the practitioner's viewpoint. A must-have for risk managers and investment professionals.' Arturo Cifuentes, Chile Sovereign Fund

Spis treści

Preface; 1. What is risk?; 2. Risk metrics; 3. Fixed income modeling; 4. Equity modeling; 5. Convex optimization; 6. Factor models; 7. Distributions; 8. Simulation, scenarios and stress testing; 9. Time-varying volatility; 10. Modeling relationships; 11. Credit modeling; 12. Hedging; References; Index.