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Portfolio Risk Analysis
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Portfolio Risk Analysis Hardcover - 2010

by Gregory Connor; Lisa R. Goldberg; Robert A. Korajczyk


From the rear cover

"Thorough and well-cited, this is a comprehensive treatment of techniques for portfolio risk management. It provides a unique perspective, from the fundamentals to practical applications. There are few books that cover this material in this particular way."--Christopher L. Culp, author of Structured Finance and Insurance

"The range of topics is wide and the coverage is deep. An impressive book."--Peter Christoffersen, McGill University

"The conceptual framework of this book is presented in a lucid and clear manner. The treatment is mathematically rigorous where it matters, without ever becoming pedantic and without cutting corners."--Riccardo Rebonato, Royal Bank of Scotland

"This book takes major steps forward in the crucially important area of portfolio risk measurement, making significant strides toward incorporating industry and country risk, as well as macroeconomic, FX, credit, transactions cost, and liquidity risks. It will be an essential reference text for academics, central bankers, and others in the financial services industry."--Francis X. Diebold, University of Pennsylvania

Details

  • Title Portfolio Risk Analysis
  • Author Gregory Connor; Lisa R. Goldberg; Robert A. Korajczyk
  • Binding Hardcover
  • Pages 400
  • Volumes 1
  • Language ENG
  • Publisher Princeton University Press
  • Date 2010-03
  • Illustrated Yes
  • Features Bibliography, Dust Cover, Illustrated, Index, Table of Contents
  • ISBN 9780691128283 / 0691128286
  • Weight 1.45 lbs (0.66 kg)
  • Dimensions 9.2 x 6.2 x 1.3 in (23.37 x 15.75 x 3.30 cm)
  • Library of Congress subjects Risk management, Portfolio management
  • Library of Congress Catalog Number 2009050913
  • Dewey Decimal Code 332.6

About the author

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.
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Portfolio Risk Analysis

Portfolio Risk Analysis

by Gregory Connor

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Hardback. New. Presents an overview of financial risk modeling, with a focus on practical applications, empirical reality, and historical perspective. Covering the mean-variance analysis and the capital asset pricing model, this title offers an account of factor models, which are the key to successful risk analysis in every economic climate.
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Portfolio Risk Analysis
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Portfolio Risk Analysis

by Connor, Gregory/ Goldberg, Lisa R./ Korajczyk, Robert A.

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ISBN 10 / ISBN 13
9780691128283 / 0691128286
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Princeton Univ Pr, 2010. Hardcover. New. 354 pages. 9.75x6.50x1.00 inches.
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Portfolio Risk Analysis
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Portfolio Risk Analysis

by Connor, Gregory

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ISBN 10 / ISBN 13
9780691128283 / 0691128286
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