Practical Risk Analysis for Portfolio Managers and Traders
نویسندگان
چکیده
Once a fairly esoteric subject, risk analysis and measurement has become a critical function for both portfolio managers and traders. Yet, there are many practical challenges in accurately measuring and analyzing risk. These range from the construction of accurate and up-to-date risk models to subtle issues in the interpretation of the results of these models. This article provides a detailed overview of recent developments in risk analysis and modeling, with a focus on practical applications. We demonstrate that these tools can provide invaluable insights into risk, but need to be applied with considerable care. Risk analysis, as it stands today, is as much an art as a science.
منابع مشابه
Parametric Estimates of High Frequency Market Microstructure Noise as an Unsystematic Risk
Noise is essential for the existence of a liquid market, and if noise traders are not present in the market, the trade volume will drop severely and an important aspect of the market philosophy will be lost. However, these noise traders bring noise to the market, and the existence of noise in prices indicates a temporary deviation in prices from their fundamental values. In particular, high-fre...
متن کاملStock Market Volatility in India
Volatility as a phenomenon as well as a concept remains central to modern financial markets and academic research. The link between volatility and risk has been to some extent elusive, but stock market volatility is not necessarily a bad thing. In fact, fundamentally justified volatility can form the basis for efficient price discovery. In this context volatility dependence that implies predict...
متن کاملOptimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
We extend and generalize some results on bounding security prices under two stochastic volatility models that provide closed-form expressions for option prices. In detail, we compute analytical expressions for benchmark and standard good-deal bounds. For both models, our findings show that our benchmark results generate much tighter bounds. A deep analysis of the properties of bounds involving ...
متن کاملUsing MODEA and MODM with Different Risk Measures for Portfolio Optimization
The purpose of this study is to develop portfolio optimization and assets allocation using our proposed models. The study is based on a non-parametric efficiency analysis tool, namely Data Envelopment Analysis (DEA). Conventional DEA models assume non-negative data for inputs and outputs. However, many of these data take the negative value, therefore we propose the MeanSharp-βRisk (MShβR) model...
متن کاملThe Tail Mean-Variance Model and Extended Efficient Frontier
In portfolio theory, it is well-known that the distributions of stock returns often have non-Gaussian characteristics. Therefore, we need non-symmetric distributions for modeling and accurate analysis of actuarial data. For this purpose and optimal portfolio selection, we use the Tail Mean-Variance (TMV) model, which focuses on the rare risks but high losses and usually happens in the tail of r...
متن کامل