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Multi Asset Risk Modeling

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Multi Asset Risk Modeling

Multi Asset Risk Modeling Book
Author : Morton Glantz,Robert Kissell
Publisher : Academic Press
Release : 2013-12-03
ISBN : 0124016944
Language : En, Es, Fr & De

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Book Description :

Multi-Asset Risk Modeling describes, in a single volume, the latest and most advanced risk modeling techniques for equities, debt, fixed income, futures and derivatives, commodities, and foreign exchange, as well as advanced algorithmic and electronic risk management. Beginning with the fundamentals of risk mathematics and quantitative risk analysis, the book moves on to discuss the laws in standard models that contributed to the 2008 financial crisis and talks about current and future banking regulation. Importantly, it also explores algorithmic trading, which currently receives sparse attention in the literature. By giving coherent recommendations about which statistical models to use for which asset class, this book makes a real contribution to the sciences of portfolio management and risk management. Covers all asset classes Provides mathematical theoretical explanations of risk as well as practical examples with empirical data Includes sections on equity risk modeling, futures and derivatives, credit markets, foreign exchange, and commodities

Multi asset Equity Derivatives

Multi asset Equity Derivatives Book
Author : Rama Cont
Publisher : John Wiley & Son Limited
Release : 2007
ISBN : 9780470032831
Language : En, Es, Fr & De

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Book Description :

Written by two experts in quantitative finance and with considerable professional market experience, this book brings the necessary tools for modelling multi-asset equity derivatives to the practitioner and student interested in the topic.

Investment Risk and Uncertainty

Investment Risk and Uncertainty Book
Author : Steven P. Greiner
Publisher : John Wiley & Sons
Release : 2013-03-14
ISBN : 1118421418
Language : En, Es, Fr & De

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Book Description :

Valuable insights on the major methods used in today's asset andrisk management arena Risk management has moved to the forefront of asset managementsince the credit crisis. However, most coverage of this subject isoverly complicated, misunderstood, and extremely hard to apply.That's why Steven Greiner—a financial professional with overtwenty years of quantitative and modeling experience—haswritten Investment Risk and Uncertainty. With this book, heskillfully reduces the complexity of risk management methodologiesapplied across many asset classes through practical examples ofwhen to use what. Along the way, Greiner explores how particular methods can lowerrisk and mitigate losses. He also discusses how to stress test yourportfolio and remove the exposure to regular risks and those from"Black Swan" events. More than just an explanation of specific riskissues, this reliable resource provides practical "off-the-shelf"applications that will allow the intelligent investor to understandtheir risks, their sources, and how to hedge those risks. Covers modern methods applied in risk management for manydifferent asset classes Details the risk measurements of truly multi-asset classportfolios, while bridging the gap for managers in variousdisciplines—from equity and fixed income investors tocurrency and commodity investors Examines risk management algorithms for multi-asset classmanagers as well as risk managers, addressing new compliance issuesand how to meet them The theory of risk management is hardly ever spelled out inpractical applications that portfolio managers, pension fundadvisors, and consultants can make use of. This book fills thatvoid and will put you in a better position to confidently face theinvestment risks and uncertainties found in today's dynamicmarkets.

Risk Based Investment Management in Practice

Risk Based Investment Management in Practice Book
Author : Frances Cowell
Publisher : Springer
Release : 2013-10-31
ISBN : 113734640X
Language : En, Es, Fr & De

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Book Description :

A practitioner's account of how investment risk affects the decisions of professional investment managers. Jargon-free, with a broad coverage of investment types and asset classes, the non-investment professional will find this book readable and accessible.

Model Averaging and Value at risk Based Evaluation of Large Multi asset Volatility Models for Risk Management

Model Averaging and Value at risk Based Evaluation of Large Multi asset Volatility Models for Risk Management Book
Author : M. Hashem Pesaran,Paolo Zaffaroni
Publisher : Unknown
Release : 2005
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Model Averaging and Value at risk Based Evaluation of Large Multi asset Volatility Models for Risk Management book written by M. Hashem Pesaran,Paolo Zaffaroni, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Recent Applications of Financial Risk Modelling and Portfolio Management

Recent Applications of Financial Risk Modelling and Portfolio Management Book
Author : Škrinjarić, Tihana,Čižmešija, Mirjana,Christiansen, Bryan
Publisher : IGI Global
Release : 2020-09-25
ISBN : 1799850846
Language : En, Es, Fr & De

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Book Description :

In today’s financial market, portfolio and risk management are facing an array of challenges. This is due to increasing levels of knowledge and data that are being made available that have caused a multitude of different investment models to be explored and implemented. Professionals and researchers in this field are in need of up-to-date research that analyzes these contemporary models of practice and keeps pace with the advancements being made within financial risk modelling and portfolio control. Recent Applications of Financial Risk Modelling and Portfolio Management is a pivotal reference source that provides vital research on the use of modern data analysis as well as quantitative methods for developing successful portfolio and risk management techniques. While highlighting topics such as credit scoring, investment strategies, and budgeting, this publication explores diverse models for achieving investment goals as well as improving upon traditional financial modelling methods. This book is ideally designed for researchers, financial analysts, executives, practitioners, policymakers, academicians, and students seeking current research on contemporary risk management strategies in the financial sector.

Navigating the Business Loan

Navigating the Business Loan Book
Author : Morton Glantz
Publisher : Academic Press
Release : 2014-11-10
ISBN : 0128018062
Language : En, Es, Fr & De

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Book Description :

The need for "back to basics" information about credit risk has not disappeared; in fact, it has grown among lenders and investors who have no easy ways to learn about their clients. This short and readable book guides readers through core risk/performance issues. Readers learn the ways and means of running more efficient businesses, review bank and investor requirements as they evaluate funding requests, gain knowledge selling themselves, confidence in business plans, and their ability to make good on loans. They can download powerful tools such as banker’s cash flow models and forecast equations programmable into a cell or tablet. Readers can punch keys to ascertain financial needs, calculate sales growth rates calling for external financing, profits required to internally finance their firms, and ways to position revenue growth rates in equilibrium with their firm’s capital structure – a rock-solid selling point among smart lenders and investors. The book’s "how-to," practical and systematical guide to credit and risk analysis draws upon case studies and online tools, such as videos, spreadsheets, and slides in providing a concise risk/return methodology. Introduces ways to define and manage risk Uses case studies and online tools to extend and apply credit analysis and business management tools Surveys "hard" and "soft" data and ways they help lenders, other financiers, small-business owners, and entrepreneurs spot potential problems, write optimal business plans, and deliver effective loan or /investor geared presentations

Multi Asset Investing

Multi Asset Investing Book
Author : Yoram Lustig
Publisher : Harriman House Limited
Release : 2013-01-07
ISBN : 0857192809
Language : En, Es, Fr & De

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Book Description :

Planning, constructing and managing a multi-asset portfolio A multi-asset investment management approach provides diversification benefits, enhances risk-adjusted returns and enables a portfolio to be tailored to a wide range of investing objectives, whether these are generating returns or income, or matching liabilities. This book is divided into four parts that follow the four stages of the multi-asset investment management process: 1. Establishing objectives: Defining the return objectives, risk objectives and investment constraints of a portfolio. 2. Setting an investment strategy: Setting a plan to achieve investment objectives by thinking about long-term strategic asset allocation, combining asset classes and optimisation to derive the most efficient asset allocation. 3. Implementing a solution: Turning the investment strategy into a portfolio using short-term tactical asset allocation, investment selection and risk management. This section includes examples of investment strategies. 4. Reviewing: Evaluating the performance of a portfolio by examining results, risk, portfolio positioning and the economic environment. By dividing the multi-asset investment process into these well-defined stages, Yoram Lustig guides the reader through the various decisions that have to be made and actions that have to be taken. He builds carefully from defining investment objectives, formulating an investment strategy and the steps of selecting investments, leading to constructing and managing multi-asset portfolios. At each stage the considerations and strategies to be undertaken are detailed, and the description of the process is supported with relevant financial theory as well as practical, real-life examples. 'Multi-asset Investing' is an essential handbook for the modern approach to investment portfolio management.

Fundamentals Of Institutional Asset Management

Fundamentals Of Institutional Asset Management Book
Author : Frank J Fabozzi,Francesco A Fabozzi
Publisher : World Scientific
Release : 2020-10-12
ISBN : 981122160X
Language : En, Es, Fr & De

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Book Description :

This book provides the fundamentals of asset management. It takes a practical perspective in describing asset management. Besides the theoretical aspects of investment management, it provides in-depth insights into the actual implementation issues associated with investment strategies. The 19 chapters combine theory and practice based on the experience of the authors in the asset management industry. The book starts off with describing the key activities involved in asset management and the various forms of risk in managing a portfolio. There is then coverage of the different asset classes (common stock, bonds, and alternative assets), collective investment vehicles, financial derivatives, common stock analysis and valuation, bond analytics, equity beta strategies (including smart beta), equity alpha strategies (including quantitative/systematic strategies), bond indexing and active bond portfolio strategies, and multi-asset strategies. The methods of using financial derivatives (equity derivatives, interest rate derivatives, and credit derivatives) in managing the risks of a portfolio are clearly explained and illustrated.

Multi Asset Class Investment Strategy

Multi Asset Class Investment Strategy Book
Author : Guy Fraser-Sampson
Publisher : John Wiley & Sons
Release : 2006-07-11
ISBN : 0470033894
Language : En, Es, Fr & De

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Book Description :

The book explains that instead of asset allocation being set in an isolated and arbitrary fashion, it is in fact the way in which specific hurdle investment returns can be targeted, and that this approach is already in use in the US (and has been for many years). It involves extended and detailed financial analysis of various asset class returns and proposes a five-asset class approach for future use. Opening with a study of the historic asset allocation practice of UK pension funds, the book shows how the current approach has led to the present funding crisis. It goes on to compare and contrast the UK approach with that of the US and to propose a new approach to UK asset allocation: the five asset class approach ("MAC Investing"). The book reviews and analyses different asset classes based on historic returns, examines risk, and concludes with a suggestion of the five asset classes to use; Quoted equities (both Domestic and foreign), hedge funds, private equity and property. This book also includes benchmark performance figures never previously published.

Algorithmic Trading Methods

Algorithmic Trading Methods Book
Author : Robert Kissell
Publisher : Academic Press
Release : 2020-09-08
ISBN : 0128156317
Language : En, Es, Fr & De

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Book Description :

Algorithmic Trading Methods: Applications using Advanced Statistics, Optimization, and Machine Learning Techniques, Second Edition, is a sequel to The Science of Algorithmic Trading and Portfolio Management. This edition includes new chapters on algorithmic trading, advanced trading analytics, regression analysis, optimization, and advanced statistical methods. Increasing its focus on trading strategies and models, this edition includes new insights into the ever-changing financial environment, pre-trade and post-trade analysis, liquidation cost & risk analysis, and compliance and regulatory reporting requirements. Highlighting new investment techniques, this book includes material to assist in the best execution process, model validation, quality and assurance testing, limit order modeling, and smart order routing analysis. Includes advanced modeling techniques using machine learning, predictive analytics, and neural networks. The text provides readers with a suite of transaction cost analysis functions packaged as a TCA library. These programming tools are accessible via numerous software applications and programming languages. Provides insight into all necessary components of algorithmic trading including: transaction cost analysis, market impact estimation, risk modeling and optimization, and advanced examination of trading algorithms and corresponding data requirements. Increased coverage of essential mathematics, probability and statistics, machine learning, predictive analytics, and neural networks, and applications to trading and finance. Advanced multiperiod trade schedule optimization and portfolio construction techniques. Techniques to decode broker-dealer and third-party vendor models. Methods to incorporate TCA into proprietary alpha models and portfolio optimizers. TCA library for numerous software applications and programming languages including: MATLAB, Excel Add-In, Python, Java, C/C++, .Net, Hadoop, and as standalone .EXE and .COM applications.

Innovations In Insurance Risk And Asset Management Proceedings Of The Innovations In Insurance Risk And Asset Management Conference

Innovations In Insurance  Risk  And Asset Management   Proceedings Of The Innovations In Insurance  Risk  And Asset Management Conference Book
Author : Kathrin Glau,Daniel Linders,Aleksey Min,Matthias Scherer,Lorenz Schneider,Rudi Zagst
Publisher : World Scientific
Release : 2018-09-14
ISBN : 9813272570
Language : En, Es, Fr & De

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Book Description :

This book covers recent developments in the interdisciplinary fields of actuarial science, quantitative finance, risk- and asset management. The authors are leading experts from academia and practice who participated in Innovations in Insurance, Risk- and Asset Management, an international conference held at the Technical University of Munich in 2017.The topics covered include the mathematics of extreme risks, systemic risk, model uncertainty, interest rate and hybrid models, alternative investments, dynamic investment strategies, quantitative risk management, asset liability management, liability driven investments, and behavioral finance.This timely selection of topics is highly relevant for the financial industry and addresses current issues both from an academic as well as from a practitioner's point of view.

The Science of Algorithmic Trading and Portfolio Management

The Science of Algorithmic Trading and Portfolio Management Book
Author : Robert Kissell
Publisher : Academic Press
Release : 2013-10-01
ISBN : 0124016936
Language : En, Es, Fr & De

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Book Description :

The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic trading processes and current trading models, sits apart from others of its kind. Robert Kissell, the first author to discuss algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. Readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, and acquire the knowledge to implement electronic trading systems. This valuable book summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. Readers learn the underlying details and mathematics of customized trading algorithms, as well as advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques. Portfolio management topics, including quant factors and black box models, are discussed, and an accompanying website includes examples, data sets supplementing exercises in the book, and large projects. Prepares readers to evaluate market impact models and assess performance across algorithms, traders, and brokers. Helps readers design systems to manage algorithmic risk and dark pool uncertainty. Summarizes an algorithmic decision making framework to ensure consistency between investment objectives and trading objectives.

PRICAI 2019 Trends in Artificial Intelligence

PRICAI 2019  Trends in Artificial Intelligence Book
Author : Abhaya C. Nayak,Alok Sharma
Publisher : Springer Nature
Release : 2019-08-22
ISBN : 3030298949
Language : En, Es, Fr & De

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Book Description :

This three-volume set LNAI 11670, LNAI 11671, and LNAI 11672 constitutes the thoroughly refereed proceedings of the 16th Pacific Rim Conference on Artificial Intelligence, PRICAI 2019, held in Cuvu, Yanuca Island, Fiji, in August 2019. The 111 full papers and 13 short papers presented in these volumes were carefully reviewed and selected from 265 submissions. PRICAI covers a wide range of topics such as AI theories, technologies and their applications in the areas of social and economic importance for countries in the Pacific Rim.

Reverse Stress Testing in Banking

Reverse Stress Testing in Banking Book
Author : Michael Eichhorn,Tiziano Bellini,Daniel Mayenberger
Publisher : Walter de Gruyter GmbH & Co KG
Release : 2021-05-10
ISBN : 3110647907
Language : En, Es, Fr & De

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Book Description :

Reverse stress testing was introduced in risk management as a regulatory tool for financial institutions more than a decade ago. The recent Covid-19 crisis illustrates its relevance and highlights the need for a systematic re-thinking of tail risks in the banking sector. This book addresses the need for practical guidance describing the entire reverse stress testing process. Reverse Stress Testing in Banking features contributions from a diverse range of established practitioners and academics. Organized in six parts, the book presents a series of contributions providing an in-depth understanding of: Regulatory requirements and ways to address them Quantitative and qualitative approaches to apply reverse stress testing at different levels – from investment portfolios and individual banks to the entire banking system The use of artificial intelligence, machine learning and quantum computing to gain insights into and address banks’ structural weaknesses Opportunities to co-integrate reverse stress testing with recovery and resolution planning Governance and processes for board members and C-suite executives Readers will benefit from the case studies, use cases from practitioners, discussion questions, recommendations and innovative practices provided in this insightful and pioneering book.

Optimal Sports Math Statistics and Fantasy

Optimal Sports Math  Statistics  and Fantasy Book
Author : Robert L. Kissell,James Poserina
Publisher : Academic Press
Release : 2017-04-06
ISBN : 0128052937
Language : En, Es, Fr & De

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Book Description :

Optimal Sports Math, Statistics, and Fantasy provides the sports community—students, professionals, and casual sports fans—with the essential mathematics and statistics required to objectively analyze sports teams, evaluate player performance, and predict game outcomes. These techniques can also be applied to fantasy sports competitions. Readers will learn how to: Accurately rank sports teams Compute winning probability Calculate expected victory margin Determine the set of factors that are most predictive of team and player performance Optimal Sports Math, Statistics, and Fantasy also illustrates modeling techniques that can be used to decode and demystify the mysterious computer ranking schemes that are often employed by post-season tournament selection committees in college and professional sports. These methods offer readers a verifiable and unbiased approach to evaluate and rank teams, and the proper statistical procedures to test and evaluate the accuracy of different models. Optimal Sports Math, Statistics, and Fantasy delivers a proven best-in-class quantitative modeling framework with numerous applications throughout the sports world. Statistical approaches to predict winning team, probabilities, and victory margin Procedures to evaluate the accuracy of different models Detailed analysis of how mathematics and statistics are used in a variety of different sports Advanced mathematical applications that can be applied to fantasy sports, player evaluation, salary negotiation, team selection, and Hall of Fame determination

Credit Risk Modelling

Credit Risk Modelling Book
Author : Michael B. Gordy
Publisher : Unknown
Release : 2003
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

A unique volume that brings together the most innovative and instrumental papers on credit risk modelling to reflect the major developments to date. This volume also focuses on the influences that are currently shaping the industry.

Financial Enterprise Risk Management

Financial Enterprise Risk Management Book
Author : Paul Sweeting
Publisher : Cambridge University Press
Release : 2011-09-01
ISBN : 1139501747
Language : En, Es, Fr & De

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Book Description :

Financial Enterprise Risk Management provides all the tools needed to build and maintain a comprehensive ERM framework. As well as outlining the construction of such frameworks, it discusses the internal and external contexts within which risk management must be carried out. It also covers a range of qualitative and quantitative techniques that can be used to identify, model and measure risks, and describes a range of risk mitigation strategies. Over 100 diagrams are used to help describe the range of approaches available, and risk management issues are further highlighted by various case studies. A number of proprietary, advisory and mandatory risk management frameworks are also discussed, including Solvency II, Basel III and ISO 31000:2009. This book is an excellent resource for actuarial students studying for examinations, for risk management practitioners and for any academic looking for an up-to-date reference to current techniques.

Drones and Terrorism

Drones and Terrorism Book
Author : Nicholas Grossman
Publisher : Bloomsbury Publishing
Release : 2018-01-31
ISBN : 1838608435
Language : En, Es, Fr & De

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Book Description :

In warzones, ordinary commercially-available drones are used for extraordinary reconnaissance and information gathering. They can also be used for bombings - a drone carrying an explosive charge is potentially a powerful weapon. At the same time asymmetric warfare has become the norm - with large states increasingly fighting marginal terrorist groups in the Middle East and elsewhere. Here, Nicholas Grossman shows how we are entering the age of the drone terrorist - groups such as Hezbollah are already using them in the Middle East. Grossman will analyse the ways in which the United States, Israel and other advanced militaries use aerial drones and ground-based robots to fight non-state actors (e.g. ISIS, al Qaeda, the Iraqi and Afghan insurgencies, Hezbollah, Hamas, etc.) and how these groups, as well as individual terrorists, are utilizing less advanced commercially-available drones to fight powerful state opponents. Robotics has huge implications for the future of security, terrorism and international relations and this will be essential reading on the subject of terrorism and drone warfare.

Out thinking Organizational Communications

Out thinking Organizational Communications Book
Author : Joachim Klewes,Dirk Popp,Manuela Rost-Hein
Publisher : Springer
Release : 2016-09-02
ISBN : 3319418459
Language : En, Es, Fr & De

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Book Description :

This book demonstrates the challenges for Corporate Communications in the era of the Industrial Internet and the Internet of things, and how companies can adapt their communication strategies to meet them. The Industrial Internet and the Internet of Things herald a transformation in our economy, industry and society. As such, it is high time that companies adjust both their communication strategies and the structure of their communications to reflect these changes. In this book, experts from the corporate world, academia, professional associations, government organizations and NGOs discuss various challenges – from Corporate and Leadership Communication and Employer Branding to Change/Personnel Management and changes in the supply chain – that can be confronted in everyday working environment. Revealing contributions from an interdisciplinary mix of perspectives help offer a more detailed picture of what future programs and standards might look like. The book also features best practice cases that offer practical insights into addressing the Corporate Communications challenges that are to come.