Market Risk Analysis Volume II: Practical Financial Econometrics

List of Examples

II.1.1 OLS estimates of alpha and beta for two stocks

II.1.2 OLS estimates of portfolio alpha and beta

II.1.3 Systematic and specific risk

II.1.4 Style attribution

II.1.5 Systematic risk at the portfolio level

II.1.6 Decomposition of systematic risk into equity and forex factors

II.1.7 Total risk and systematic risk

II.1.8 Tracking error of an underperforming fund

II.1.9 Why tracking error only applies to tracking funds

II.1.10 Irrelevance of the benchmark for tracking error

II.1.11 Interpretation of Mean-Adjusted Tracking Error

II.1.12 Comparison of TE and MATE

II.1.13 Which fund is more risky (1)?

II.1.14 Which fund is more risky (2)?

II.2.1 PCA factor model for a UK bond portfolio

II.2.2 PCA factor model for forward sterling exposures

II.2.3 PCA on crude oil futures

II.2.4 Immunizing a bond portfolio using PCA

II.2.5 Asset–liability management using PCA

II.2.6 Stress testing a UK bond portfolio

II.2.7 PCA on curves with different credit rating

II.2.8 PCA on curves in different currencies

II.2.9 Decomposition of total risk using PCA factors

II.3.1 Calculating volatility from standard deviation

II.3.2 Estimating volatility for hedge funds

II.3.3 Portfolio variance

II.3.4 Scaling and decomposition of covariance matrix

II.3.5 Equally weighted average estimate of FTSE 100 volatility (I)

II.3.6 Equally weighted average estimate of FTSE 100 volatility (II)

II.3.7 Equally weighted correlation of the FTSE 100 and S&P 500

II.3.8 Confidence interval for a variance estimate ...