(Ebook) Risk Analysis and Portfolio Modelling 1st Edition by Elisa Luciano, David Allen ISBN 9783039216246 3039216244

(Ebook) Risk Analysis and Portfolio Modelling 1st Edition by Elisa Luciano, David Allen ISBN 9783039216246 3039216244

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Product details:

ISBN 10: 3039216244
ISBN 13: 9783039216246
Author: Elisa Luciano, David Allen

(Ebook) Risk Analysis and Portfolio Modelling 1st Edition Table of contents:

Part I: Foundations of Risk and Portfolio Theory

1. Introduction to Financial Risk

   • 1.1 Defining Risk in Finance

   • 1.2 Risk Measures: Variance, VaR, and CVaR

   • 1.3 Historical Context and Development

2. Theories of Portfolio Construction

   • 2.1 Modern Portfolio Theory (MPT)

   • 2.2 Efficient Frontier and Optimal Portfolios

   • 2.3 Capital Asset Pricing Model (CAPM)

   • 2.4 Arbitrage Pricing Theory (APT)

3. Risk Metrics and Estimation

   • 3.1 Volatility Forecasting

   • 3.2 Value-at-Risk (VaR) Models

   • 3.3 Expected Shortfall (CVaR)

   • 3.4 Stress Testing and Scenario Analysis

Part II: Empirical Approaches and Applications

4. Quantitative Models in Risk Management

   • 4.1 GARCH and EGARCH Models

   • 4.2 Monte Carlo Simulation

   • 4.3 Copulas and Tail Risk

5. Credit and Liquidity Risk

   • 5.1 Credit Risk Models (Structural vs. Reduced Form)

   • 5.2 Default Probabilities

   • 5.3 Measuring Liquidity Risk in Portfolios

6. Systemic and Operational Risk

   • 6.1 Systemic Risk and Financial Contagion

   • 6.2 Network Models in Risk Analysis

   • 6.3 Operational Risk Frameworks

Part III: Portfolio Modelling Techniques

7. Optimization Techniques

   • 7.1 Mean-Variance Optimization

   • 7.2 Black-Litterman Model

   • 7.3 Robust Optimization

8. Factor Models and Risk Attribution

   • 8.1 Multi-Factor Models

   • 8.2 Risk Budgeting

   • 8.3 Style Analysis and Performance Attribution

9. Machine Learning in Portfolio Modelling

   • 9.1 Predictive Analytics for Risk

   • 9.2 Machine Learning for Asset Allocation

   • 9.3 Neural Networks and Financial Forecasting

Part IV: Case Studies and Advanced Topics

10. Risk Analysis in Emerging Markets

    • 10.1 Currency Risk and Political Risk

    • 10.2 Portfolio Diversification across Regions

    • 10.3 Empirical Findings from Asia, Africa, and Latin America

11. Risk Management in ESG and Sustainable Investing

    • 11.1 Climate Risk and Portfolio Exposure

    • 11.2 ESG Integration in Risk Models

    • 11.3 Impact on Long-Term Risk-Return Trade-offs

12. Case Studies

    • 12.1 Global Financial Crisis (2007–2009)

    • 12.2 COVID-19 Market Impact

    • 12.3 Risk Lessons from Hedge Fund Failure

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Tags: Elisa Luciano, David Allen, Risk Analysis, Portfolio Modelling