June 2008
Beginner
428 pages
15h 29m
English
Content preview from Market Risk Analysis Volume II: Practical Financial EconometricsBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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Contents
II.1.2.2 Estimating Portfolio Characteristics using OLS
II.1.2.3 Estimating Portfolio Risk using EWMA
II.1.2.4 Relationship between Beta, Correlation and Relative Volatility
II.1.2.5 Risk Decomposition in a Single Factor Model
II.1.3.1 Multi-factor Models of Asset or Portfolio Returns
II.1.3.2 Style Attribution Analysis
II.1.3.3 General Formulation of Multi-factor Model
II.1.3.4 Multi-factor Models of International Portfolios
II.1.4 Case Study: Estimation of Fundamental Factor Models
II.1.4.1 Estimating Systematic Risk for a Portfolio of US Stocks
II.1.4.2 Multicollinearity: A Problem with Fundamental Factor Models
II.1.4.3 Estimating Fundamental Factor Models by Orthogonal Regression
II.1.5 Analysis of Barra Model
II.1.5.1 Risk Indices, Descriptors and Fundamental Betas
II.1.5.2 Model Specification and Risk Decomposition
II.1.6 Tracking Error and Active Risk
II.1.6.1 Ex Post versus Ex Ante Measurement of Risk and Return
II.1.6.2 Definition of Active Returns
II.1.6.3 Definition of Active Weights
II.1.6.4 Ex Post Tracking Error
II.1.6.5 Ex Post Mean-Adjusted Tracking Error
II.1.6.6 Ex Ante Tracking Error
II.1.6.7 Ex Ante Mean-Adjusted Tracking Error
II.1.6.8 Clarification of the Definition of Active Risk
II.1.7 Summary and Conclusions
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