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Contents
Acknowledgments xi
Introduction xiii
Key Notation xix
1 Measures of Risk and Return 1
1.1 Measuring Return 1
1.2 The Key Portfolio Risk Measures 6
1.3 Risk–Return Preferences and Portfolio Optimization 12
1.4 The Capital Asset Pricing Model and Its Applications to
Risk Analysis 23
1.5 The Objectives and Limitations of Portfolio Risk Analysis 31
2 Unstructured Covariance Matrices 36
2.1 Estimating Return Covariance Matrices 36
2.2 The Error-Maximization Problem 47
2.3 Portfolio Choice as Decision Making under Uncertainty 54
3 Industry and Country Risk 61
3.1 Industry–Country Component Models 61
3.2 Empirical Evidence on the Relative Magnitudes of Country
and Industry Risks 73
3.3 Sector–Currency Models of Corporate Bond Returns 77
4 Statistical Factor Analysis 79
4.1 Types of Factor Models 79
4.2 Approximate Factor Models 82
4.3 The Arbitrage Pricing Theory 86
4.4 Small-n Estimation Methods 88
4.5 Large-n Estimation Methods 93
4.6 Number of Factors 98
5 The Macroeconomy and Portfolio Risk 101
5.1 Estimating Macroeconomic Factor Models 101
5.2 Event Studies of Macroeconomic Announcements 110
viii Contents
5.3 Macroeconomic Policy Endogeneity 112
5.4 Business Cycle Betas 115
5.5 Empirical Fit and the Relative Value of Macroeconomic
Factor Models 116
6 Security Characteristics and Pervasive Risk Factors 117
6.1 Equity and Fixed-Income Characteristics 117
6.2 Characteristic-Based Factor Models of Equities 122
6.3 The Fama–French Model and Extensions 130
6.4 The Semiparametric Approach to Characteristic-Based
Factor Models 132
7 Measuring and Hedging Foreign Exchange Risk 134
7.1 Definitions of Foreign Exchange Risk 134
7.2 Optimal Currency Hedging 142
7.3 Currency Covariances with Stock and Bond Returns 149
7.4 Macroeconomic Influences on Currency Returns 151
8 Integrated Risk Models 155
8.1 Global and Regional Integration Trends 155
8.2 Risk Integration across Asset Classes 158
8.3 Segmented Asset Allocation and Security Selection 159
8.4 Integrated Risk Models 162
9 Dynamic Volatilities and Correlations 167
9.1 GARCH Models 167
9.2 Stochastic Volatility Models 178
9.3 Time Aggregation 180
9.4 Downside Correlation 181
9.5 Option-Implied Volatility 184
9.6 The Volatility Term Structure at Long Horizons 187
9.7 Time-Varying Cross-Sectional Dispersion 188
10 Portfolio Return Distributions 191
10.1 Characterizing Return Distributions 191
10.2 Estimating Return Distributions 196
10.3 Tail Risk 203
10.4 Nonlinear Dependence between Asset Returns 207
11 Credit Risk 212
11.1 Agency Ratings and Factor Models of Spread Risk 213
11.2 Rating Transitions and Default 217
11.3 Credit Instruments 218
11.4 Conceptual Approaches to Credit Risk 220
11.5 Recovery at Default 232
11.6 Portfolio Credit Models 232
11.7 The 2007–8 Credit-Liquidity Crisis 238
12 Transaction Costs and Liquidity Risk 241
12.1 Some Basic Terminology 241
12.2 Measuring Transactions Cost 246
Contents ix
12.3 Statistical Properties of Liquidity 261
12.4 Optimal Trading Strategies and Transaction Costs 266
13 Alternative Asset Classes 271
13.1 Nonsynchronous Pricing and Smoothed Returns 271
13.2 Time-Varying Risk, Nonlinear Payoff, and Style Drift 284
13.3 Selection and Survivorship Biases 291
13.4 Collectibles: Measuring Return and Risk with Infrequent
and Error-Prone Observations 295
13.5 Summary 298
14 Performance Measurement 299
14.1 Return-Based Performance Measurement 299
14.2 Holdings-Based Performance Measurement and Attribution 303
14.3 Volatility Forecast Evaluation 309
14.4 Value-at-Risk Hit Rates 316
14.5 Forecast and Realized Return Densities 317
15 Conclusion 319
15.1 Some Key Messages 319
15.2 Questions for Future Research 320
References 323
Index 345
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