Quantitative Investment Risk Analysis

Quantitative Investment Risk Analysis

4 (1 rating by Goodreads)
By (author)  , By (author) 

List price: US$89.95

Currently unavailable

We can notify you when this item is back in stock

Add to wishlist

AbeBooks may have this title (opens in new window).

Try AbeBooks


In this book, Editors Fishwick and Satchell present a unified view of portfolio investment risk. Although the emphasis in on equity investment, the book also addresses fixed income and multi-asset investment. These issues are currently of great importance as the financial industry grapples with the challenge or risk management in a volatile and rapidly evolving world. Chapters within the book are authored by both academics and practitioners to ensure comprehensive coverage of the latest methods in this area. The unifying theme of this work is that the effective analysis and management of investment risk requires a combination of rigorous quantitative methodology, a sympathetic understanding of theory, and a strong appreciation of real-world practicalities. It provides practical guidance on the latest developments in investment risk analysis. There is full coverage of the latest cutting-edge research on measuring portfolio risk, alternatives to mean variance analysis, and linear multi-factor models. Combination of academics and practitioners provide a comprehensive overview.
show more

Product details

  • Hardback | 288 pages
  • 234 x 242.9 x 165mm | 1,099.99g
  • Butterworth-Heinemann Ltd
  • Oxford, United Kingdom
  • English
  • 0750668520
  • 9780750668521

About Ed Fishwick

Ed Fishwick is a Managing Director, and Head of Risk Management & Quantitative Analysis (EMEA Pacific), at Merrill Lynch Investment Managers. He has worked in quantitative finance for over 20 years in London, New York, and Boston. Previously he was Head of Risk Management & Investment Process Development at AXA Investment Managers, and Director of Research at Franklin Portfolio Associates. He studied undergraduate and postgraduate economics at the universities of Liverpool and Cambridge respectively, is a frequent speaker at international finance conferences, is the author of a number of papers, and served on the Board of Trustees of the Global Association of Risk Professionals. Stephen Satchell is a Fellow of Trinity College, the Reader in Financial Econometrics at the University of Cambridge and Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk.
show more

Table of contents

Ch 1 Quantitative investment risk analysis an overview by Ed Fishwick; Ch 2 Multi-asset risk by Ed Fishwick and Stephen Satchell; Ch 3 Beta risk and equity duration by Stephen Satchell; Ch 4 Macroeconomic level risk in equity portfolios; Ch 5 The risk of individual equities; Ch 6 Industry risk in active equity portfolios by Alan Scowcroft and James Sefton; Ch 7 Style risk in equity portfolios; Ch 8 The design of linear multi-factor models by Richard Young, Jason McQueen, Stephen Satchell and Ed Fishwick; Ch 9 FI portfolio risk; Ch 10 Time Horizon and investment by Aamir Sheikh and Fang Wang
show more

Rating details

1 rating
4 out of 5 stars
5 0% (0)
4 100% (1)
3 0% (0)
2 0% (0)
1 0% (0)
Book ratings by Goodreads
Goodreads is the world's largest site for readers with over 50 million reviews. We're featuring millions of their reader ratings on our book pages to help you find your new favourite book. Close X