Portfolio Risk Analysis – Gregory Connor, Lisa R. Goldberg & Robert A. Korajczyk

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Portfolio Risk Analysis - Gregory Connor, Lisa R. Goldberg & Robert A. Korajczyk

Portfolio Risk Analysis – Gregory Connor, Lisa R. Goldberg & Robert A. Korajczyk

Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models’ econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective.

Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts.

This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.


“Thorough and well-cited, this is a comprehensive treatment of techniques for portfolio risk management. It provides a unique perspective, from the fundamentals to practical applications. There are few books that cover this material in this particular way.”–Christopher L. Culp, author of Structured Finance and Insurance

“The range of topics is wide and the coverage is deep. An impressive book.”–Peter Christoffersen, McGill University

“The conceptual framework of this book is presented in a lucid and clear manner. The treatment is mathematically rigorous where it matters, without ever becoming pedantic and without cutting corners.”–Riccardo Rebonato, Royal Bank of Scotland

“This book takes major steps forward in the crucially important area of portfolio risk measurement, making significant strides toward incorporating industry and country risk, as well as macroeconomic, FX, credit, transactions cost, and liquidity risks. It will be an essential reference text for academics, central bankers, and others in the financial services industry.”–Francis X. Diebold, University of Pennsylvania

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