Kenneth J. Winston

Quantitative Risk and Portfolio Management (eBook, PDF)

Theory and Practice

• Format: PDF

Produktdetails

• Verlag: Cambridge University Press
• Erscheinungstermin: 21. September 2023
• Englisch
• ISBN-13: 9781009209052
• Artikelnr.: 70908591

Autorenporträt

Kenneth J. Winston is a Lecturer in Economics at the California Institute of Technology and an Adjunct Professor of Mathematics at New York University. Having trained as a combinatorist at MIT, he moved into the field of quantitative finance, creating algorithms for equity and option investment strategies. He worked as a Chief Risk Officer at Western Asset Management and Morgan Stanley, and is a founder of the Buy Side Risk Managers Forum. Winston won the 2006 Roger Murray Award at the Institute for Quantitative Research in Finance and is a co-editor of The Oxford Handbook of Quantitative Asset Management (OUP: 2014).

Inhaltsangabe

Preface
1. What is risk?
2. Risk metrics
3. Fixed income modeling
4. Equity modeling
5. Convex optimization
6. Factor models
7. Distributions
8. Simulation, scenarios and stress testing
9. Time-varying volatility
10. Modeling relationships
11. Credit modeling
12. Hedging
References
Index.