Introduction to Risk Parity and Budgeting

Author: Thierry Roncalli

Publisher: CRC Press

ISBN: 1482207168

Category: Business & Economics

Page: 440

View: 2842

DOWNLOAD NOW »
Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global financial crisis in 2008. Today, pension funds and institutional investors are using this approach in the development of smart indexing and the redefinition of long-term investment policies. Written by a well-known expert of asset management and risk parity, Introduction to Risk Parity and Budgeting provides an up-to-date treatment of this alternative method to Markowitz optimization. It builds financial exposure to equities and commodities, considers credit risk in the management of bond portfolios, and designs long-term investment policy. The first part of the book gives a theoretical account of portfolio optimization and risk parity. The author discusses modern portfolio theory and offers a comprehensive guide to risk budgeting. Each chapter in the second part presents an application of risk parity to a specific asset class. The text covers risk-based equity indexation (also called smart beta) and shows how to use risk budgeting techniques to manage bond portfolios. It also explores alternative investments, such as commodities and hedge funds, and applies risk parity techniques to multi-asset classes. The book’s first appendix provides technical materials on optimization problems, copula functions, and dynamic asset allocation. The second appendix contains 30 tutorial exercises. Solutions to the exercises, slides for instructors, and Gauss computer programs to reproduce the book’s examples, tables, and figures are available on the author’s website.

Risk Budgeting

Portfolio Problem Solving with Value-at-Risk

Author: Neil D. Pearson

Publisher: John Wiley & Sons

ISBN: 1118160835

Category: Business & Economics

Page: 336

View: 6740

DOWNLOAD NOW »
Covers the hottest topic in investment for multitrillion pension market and institutional investors Institutional investors and fund managers understand they must take risks to generate superior investment returns, but the question is how much. Enter the concept of risk budgeting, using quantitative risks measurements, including VaR, to solve the problem. VaR, or value at risk, is a concept first introduced by bank dealers to establish parameters for their market short-term risk exposure. This book introduces VaR, extreme VaR, and stress-testing risk measurement techniques to major institutional investors, and shows them how they can implement formal risk budgeting to more efficiently manage their investment portfolios. Risk Budgeting is the most sophisticated and advanced read on the subject out there in the market.

Risk Parity Fundamentals

Author: Edward E. Qian

Publisher: CRC Press

ISBN: 149873880X

Category: Mathematics

Page: 228

View: 2938

DOWNLOAD NOW »
Discover the Benefits of Risk Parity Investing Despite recent progress in the theoretical analysis and practical applications of risk parity, many important fundamental questions still need to be answered. Risk Parity Fundamentals uses fundamental, quantitative, and historical analysis to address these issues, such as: What are the macroeconomic dimensions of risk in risk parity portfolios? What are the appropriate risk premiums in a risk parity portfolio? What are market environments in which risk parity might thrive or struggle? What is the role of leverage in a risk parity portfolio? An experienced researcher and portfolio manager who coined the term "risk parity," the author provides investors with a practical understanding of the risk parity investment approach. Investors will gain insight into the merit of risk parity as well as the practical and underlying aspects of risk parity investing.

Bond Portfolio Investing and Risk Management

Author: Vineer Bhansali

Publisher: McGraw Hill Professional

ISBN: 0071713255

Category: Business & Economics

Page: 192

View: 7874

DOWNLOAD NOW »
Learn the fine art of risk measurement and control—from a senior member of PIMCO! Bond Portfolio Investing and Risk Management is designed for one purpose—to help you do the most important part of your job. A top player in the upper echelon of PIMCO, Vineer Bhansali understands the nuances and complexities of managing risk in fixed-income investing better than anyone. In this highly practical guide, he puts his years of experience and the latest research to work in order to help you contend with such issues as: Liquidity and stress risks Asset allocation Market anomalies Cross-market relationships Tail-risk measurement Cyclical returns Macroeconomic data Bond Portfolio Investing and Risk Management details the tools used to offset risk, including their advantages and drawbacks, and explains when to use each one. Bhansali provides practical investment techniques to give you a firm handle on the value and risk of a fixed-income instrument.

Commodities

Author: M. A. H. Dempster,Ke Tang

Publisher: CRC Press

ISBN: 1498712339

Category: Business & Economics

Page: 703

View: 315

DOWNLOAD NOW »
Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development. This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodity prices, the real economy, and other financial markets. After an extensive theoretical and practical introduction, the book is divided into four parts: Oil Products – considers the structural changes in the demand and supply for hedging services that are increasingly determining the price of oil Other Commodities – examines markets related to agricultural commodities, including natural gas, wine, soybeans, corn, gold, silver, copper, and other metals Commodity Prices and Financial Markets – investigates the contemporary aspects of the financialization of commodities, including stocks, bonds, futures, currency markets, index products, and exchange traded funds Electricity Markets – supplies an overview of the current and future modelling of electricity markets With contributions from well-known academics and practitioners, this volume includes coverage of the fundamental theory of futures/forwards and derivatives pricing for major commodity markets. The contributions to Sections I and II of this volume, which treat storable or agricultural commodities, take speculation into account through a consideration of markets over time being either in backwardation or contango. Up-to-date considerations of both trading and investment are included in Sections I, II, and III. The book also reviews the effects of urbanization and the expanding middle-class population on commodities.

Risk-Based and Factor Investing

Author: Emmanuel Jurczenko

Publisher: Elsevier

ISBN: 0081008112

Category: Business & Economics

Page: 486

View: 5067

DOWNLOAD NOW »
This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI solutions. Together the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies. Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing. Contains up-to-date research from the areas of RBFI Features contributions from leading academics and practitioners in this field Features discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students

Strategic Asset Allocation in Fixed Income Markets

A Matlab based user's guide

Author: Ken Nyholm

Publisher: John Wiley & Sons

ISBN: 0470721073

Category: Business & Economics

Page: 192

View: 7280

DOWNLOAD NOW »
Matlab is used within nearly all investment banks and is a requirement in most quant job ads. There is no other book written for finance practitioners that covers this Enables readers to implement financial and econometric models in Matlab All central concepts and theories are illustrated by Matlab implementations which are accompanied by detailed descriptions of the programming steps needed All concepts and techniques are introduced from a basic level Chapter 1 introduces Matlab and matrix algebra, it serves to make the reader familiar with the use and basic capabilities if Matlab. The chapter concludes with a walkthrough of a linear regression model, showing how Matlab can be used to solve an example problem analytically and by the use of optimization and simulation techniques Chapter 2 introduces expected return and risk as central concepts in finance theory using fixed income instruments as examples, the chapter illustrates how risk measures such as standard deviation, Modified duration, VaR, and expected shortfall can be calculated empirically and in closed form Chapter 3 introduces the concept of diversification and illustrates how the efficient investment frontier can be derived - a Matlab is developed that can be used to calculate a given number of portfolios that lie on an efficient frontier, the chapter also introduces the CAPM Chapter 4 introduces econometric tools: principle component analysis is presented and used as a prelude to yield-curve factor models. The Nelson-Siegel model is used to introduce the Kalman-Filter as a way to add time-series dynamics to the evolution of yield curves over time, time series models such as Vector Autoregression and regime-switching are also presented Supported by a website with online resources - www.kennyholm.com where all Matlab programs referred to in the text can be downloaded. The site also contains lecture slides and answers to end of chapter exercises

Factor Investing

From Traditional to Alternative Risk Premia

Author: Emmanuel Jurczenko

Publisher: Elsevier

ISBN: 0081019645

Category: Business & Economics

Page: 480

View: 7427

DOWNLOAD NOW »
This new edited volume consists of a collection of original articles written by leading industry experts in the area of factor investing. The chapters introduce readers to some of the latest research developments in the area of equity and alternative investment strategies.Each chapter deals with new methods for constructing and harvesting traditional and alternative risk premia, building strategic and tactical multifactor portfolios, and assessing related systematic investment performances. This volume will be of help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge and understanding of systematic risk factor investing. A practical scope An extensive coverage and up-to-date researcch contributions Covers the topic of factor investing strategies which are increasingly popular amongst practitioners

Quantitative Equity Portfolio Management

Modern Techniques and Applications

Author: Edward E. Qian,Ronald H. Hua,Eric H. Sorensen

Publisher: CRC Press

ISBN: 1420010794

Category: Mathematics

Page: 464

View: 3451

DOWNLOAD NOW »
Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for quantitative investment students. Providing a solid foundation in the subject, Quantitative Equity Portfolio Management: Modern Techniques and Applications presents a self-contained overview and a detailed mathematical treatment of various topics. From the theoretical basis of behavior finance to recently developed techniques, the authors review quantitative investment strategies and factors that are commonly used in practice, including value, momentum, and quality, accompanied by their academic origins. They present advanced techniques and applications in return forecasting models, risk management, portfolio construction, and portfolio implementation that include examples such as optimal multi-factor models, contextual and nonlinear models, factor timing techniques, portfolio turnover control, Monte Carlo valuation of firm values, and optimal trading. In many cases, the text frames related problems in mathematical terms and illustrates the mathematical concepts and solutions with numerical and empirical examples. Ideal for students in computational and quantitative finance programs, Quantitative Equity Portfolio Management serves as a guide to combat many common modeling issues and provides a rich understanding of portfolio management using mathematical analysis.

Balanced Asset Allocation

How to Profit in Any Economic Climate

Author: Alex Shahidi

Publisher: John Wiley & Sons

ISBN: 111871217X

Category: Business & Economics

Page: 224

View: 5333

DOWNLOAD NOW »
The conventional portfolio is prone to frequent and potentially devastating losses because it is NOT balanced to different economic outcomes. In contrast, a truly balanced portfolio can help investors reduce risk and more reliably achieve their objectives. This simple fact would surprise most investors, from beginners to professionals. Investment consultant Alex Shahidi puts his 15 years of experience advising the most sophisticated investors in the world and managing multi-billion dollar portfolios to work in this important resource for investors. You will better understand why nearly every portfolio is poorly balanced and how to view the crucial asset allocation decision from a deeper, more thoughtful perspective. The concepts presented are simple, intuitive and easy to implement for every investor. Author Alex Shahidi will walk you through the logic behind the balanced portfolio framework and provide step-by-step instructions on how to build a truly balanced portfolio. No book has ever been written that discusses asset allocation in this light. Provides insights from a top-ranked investment consultant using strategies from the industry’s brightest minds Proposes a balanced asset allocation that can achieve stable returns through various economic climates Introduces sophisticated concepts in very simple terms For those who want to better manage their investment portfolio and seek a more advanced approach to building a balanced portfolio, Balanced Asset Allocation: How to Profit in Any Economic Climate provides an in-depth treatment of the topic that can be put to use immediately.

Risk-Based and Factor Investing

Author: Emmanuel Jurczenko

Publisher: Elsevier

ISBN: 0081008112

Category: Business & Economics

Page: 486

View: 7410

DOWNLOAD NOW »
This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI solutions. Together the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies. Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing. Contains up-to-date research from the areas of RBFI Features contributions from leading academics and practitioners in this field Features discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students

C++ for Financial Mathematics

Author: John Armstrong

Publisher: CRC Press

ISBN: 1498750060

Category: Business & Economics

Page: 410

View: 2012

DOWNLOAD NOW »
If you know a little bit about financial mathematics but don’t yet know a lot about programming, then C++ for Financial Mathematics is for you. C++ is an essential skill for many jobs in quantitative finance, but learning it can be a daunting prospect. This book gathers together everything you need to know to price derivatives in C++ without unnecessary complexities or technicalities. It leads the reader step-by-step from programming novice to writing a sophisticated and flexible financial mathematics library. At every step, each new idea is motivated and illustrated with concrete financial examples. As employers understand, there is more to programming than knowing a computer language. As well as covering the core language features of C++, this book teaches the skills needed to write truly high quality software. These include topics such as unit tests, debugging, design patterns and data structures. The book teaches everything you need to know to solve realistic financial problems in C++. It can be used for self-study or as a textbook for an advanced undergraduate or master’s level course.

Introduction to Credit Risk Modeling, Second Edition

Author: Christian Bluhm,Ludger Overbeck,Christoph Wagner

Publisher: CRC Press

ISBN: 1584889934

Category: Mathematics

Page: 384

View: 5355

DOWNLOAD NOW »
Contains Nearly 100 Pages of New Material The recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios, Introduction to Credit Risk Modeling, Second Edition presents updates on model developments that have occurred since the publication of the best-selling first edition. New to the Second Edition An expanded section on techniques for the generation of loss distributions Introductory sections on new topics, such as spectral risk measures, an axiomatic approach to capital allocation, and nonhomogeneous Markov chains Updated sections on the probability of default, exposure-at-default, loss-given-default, and regulatory capital A new section on multi-period models Recent developments in structured credit The financial crisis illustrated the importance of effectively communicating model outcomes and ensuring that the variation in results is clearly understood by decision makers. The crisis also showed that more modeling and more analysis are superior to only one model. This accessible, self-contained book recommends using a variety of models to shed light on different aspects of the true nature of a credit risk problem, thereby allowing the problem to be viewed from different angles.

Financial Risk Modelling and Portfolio Optimization with R

Author: Bernhard Pfaff

Publisher: John Wiley & Sons

ISBN: 1119119685

Category: Mathematics

Page: 448

View: 2104

DOWNLOAD NOW »
Financial Risk Modelling and Portfolio Optimization with R, 2nd Edition Bernhard Pfaff, Invesco Global Asset Allocation, Germany A must have text for risk modelling and portfolio optimization using R. This book introduces the latest techniques advocated for measuring financial market risk and portfolio optimization, and provides a plethora of R code examples that enable the reader to replicate the results featured throughout the book. This edition has been extensively revised to include new topics on risk surfaces and probabilistic utility optimization as well as an extended introduction to R language. Financial Risk Modelling and Portfolio Optimization with R: Demonstrates techniques in modelling financial risks and applying portfolio optimization techniques as well as recent advances in the field. Introduces stylized facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalized hyperbolic distribution, volatility modelling and concepts for capturing dependencies. Explores portfolio risk concepts and optimization with risk constraints. Is accompanied by a supporting website featuring examples and case studies in R. Includes updated list of R packages for enabling the reader to replicate the results in the book. Graduate and postgraduate students in finance, economics, risk management as well as practitioners in finance and portfolio optimization will find this book beneficial. It also serves well as an accompanying text in computer-lab classes and is therefore suitable for self-study.

Asset Management

A Systematic Approach to Factor Investing

Author: Andrew Ang

Publisher: Oxford University Press

ISBN: 0199959331

Category: Business & Economics

Page: 368

View: 9682

DOWNLOAD NOW »
In Asset Management: A Systematic Approach to Factor Investing, Professor Andrew Ang presents a comprehensive, new approach to the age-old problem of where to put your money. Years of experience as a finance professor and a consultant have led him to see that what matters aren't asset class labels, but instead the bundles of overlapping risks they represent. Factor risks must be the focus of our attention if we are to weather market turmoil and receive the rewards that come with doing so. Clearly written yet full of the latest research and data, Asset Management is indispensable reading for trustees, professional money managers, smart private investors, and business students who want to understand the economics behind factor risk premiums, to harvest them efficiently in their portfolios, and to embark on the search for true alpha.

Monte Carlo Simulation with Applications to Finance

Author: Hui Wang

Publisher: CRC Press

ISBN: 1439858241

Category: Business & Economics

Page: 292

View: 8861

DOWNLOAD NOW »
Developed from the author’s course on Monte Carlo simulation at Brown University, Monte Carlo Simulation with Applications to Finance provides a self-contained introduction to Monte Carlo methods in financial engineering. It is suitable for advanced undergraduate and graduate students taking a one-semester course or for practitioners in the financial industry. The author first presents the necessary mathematical tools for simulation, arbitrary free option pricing, and the basic implementation of Monte Carlo schemes. He then describes variance reduction techniques, including control variates, stratification, conditioning, importance sampling, and cross-entropy. The text concludes with stochastic calculus and the simulation of diffusion processes. Only requiring some familiarity with probability and statistics, the book keeps much of the mathematics at an informal level and avoids technical measure-theoretic jargon to provide a practical understanding of the basics. It includes a large number of examples as well as MATLAB® coding exercises that are designed in a progressive manner so that no prior experience with MATLAB is needed.

Introduction to Stochastic Calculus Applied to Finance, Second Edition

Author: Damien Lamberton,Bernard Lapeyre

Publisher: CRC Press

ISBN: 142000994X

Category: Mathematics

Page: 254

View: 1301

DOWNLOAD NOW »
Since the publication of the first edition of this book, the area of mathematical finance has grown rapidly, with financial analysts using more sophisticated mathematical concepts, such as stochastic integration, to describe the behavior of markets and to derive computing methods. Maintaining the lucid style of its popular predecessor, Introduction to Stochastic Calculus Applied to Finance, Second Edition incorporates some of these new techniques and concepts to provide an accessible, up-to-date initiation to the field. New to the Second Edition Complements on discrete models, including Rogers' approach to the fundamental theorem of asset pricing and super-replication in incomplete markets Discussions on local volatility, Dupire's formula, the change of numéraire techniques, forward measures, and the forward Libor model A new chapter on credit risk modeling An extension of the chapter on simulation with numerical experiments that illustrate variance reduction techniques and hedging strategies Additional exercises and problems Providing all of the necessary stochastic calculus theory, the authors cover many key finance topics, including martingales, arbitrage, option pricing, American and European options, the Black-Scholes model, optimal hedging, and the computer simulation of financial models. They succeed in producing a solid introduction to stochastic approaches used in the financial world.

Risk Management and Simulation

Author: Aparna Gupta

Publisher: CRC Press

ISBN: 1439835950

Category: Business & Economics

Page: 523

View: 9142

DOWNLOAD NOW »
The challenges of the current financial environment have revealed the need for a new generation of professionals who combine training in traditional finance disciplines with an understanding of sophisticated quantitative and analytical tools. Risk Management and Simulation shows how simulation modeling and analysis can help you solve risk management problems related to market, credit, operational, business, and strategic risk. Simulation models and methodologies offer an effective way to address many of these problems and are easy for finance professionals to understand and use. Drawing on the author’s extensive teaching experience, this accessible book walks you through the concepts, models, and computational techniques. How Simulation Models Can Help You Manage Risk More Effectively Organized into four parts, the book begins with the concepts and framework for risk management. It then introduces the modeling and computational techniques for solving risk management problems, from model development, verification, and validation to designing simulation experiments and conducting appropriate output analysis. The third part of the book delves into specific issues of risk management in a range of risk types. These include market risk, equity risk, interest rate risk, commodity risk, currency risk, credit risk, liquidity risk, and strategic, business, and operational risks. The author also examines insurance as a mechanism for risk management and risk transfer. The final part of the book explores advanced concepts and techniques. The book contains extensive review questions and detailed quantitative or computational exercises in all chapters. Use of MATLAB® mathematical software is encouraged and suggestions for MATLAB functions are provided throughout. Learn Step by Step, from Basic Concepts to More Complex Models Packed with applied examples and exercises, this book builds from elementary models for risk to more sophisticated, dynamic models for risks that evolve over time. A comprehensive introduction to simulation modeling and analysis for risk management, it gives you the tools to better assess and manage the impact of risk in your organizations. The book can also serve as a support reference for readers preparing for CFA exams, GARP FRM exams, PRMIA PRM exams, and actuarial exams.

Monte Carlo Methods and Models in Finance and Insurance

Author: Ralf Korn,Elke Korn,Gerald Kroisandt

Publisher: CRC Press

ISBN: 9781420076196

Category: Mathematics

Page: 484

View: 6287

DOWNLOAD NOW »
Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Romberg method, and the Heath–Platen estimator, as well as recent financial and actuarial models, such as the Cheyette and dynamic mortality models. The authors separately discuss Monte Carlo techniques, stochastic process basics, and the theoretical background and intuition behind financial and actuarial mathematics, before bringing the topics together to apply the Monte Carlo methods to areas of finance and insurance. This allows for the easy identification of standard Monte Carlo tools and for a detailed focus on the main principles of financial and insurance mathematics. The book describes high-level Monte Carlo methods for standard simulation and the simulation of stochastic processes with continuous and discontinuous paths. It also covers a wide selection of popular models in finance and insurance, from Black–Scholes to stochastic volatility to interest rate to dynamic mortality. Through its many numerical and graphical illustrations and simple, insightful examples, this book provides a deep understanding of the scope of Monte Carlo methods and their use in various financial situations. The intuitive presentation encourages readers to implement and further develop the simulation methods.