Cover -- Title -- Copyright -- Contents -- Acknowledgments -- Introduction -- Key Notation -- 1 Measures of Risk and Return -- 1.1 Measuring Return -- 1.2 The Key Portfolio Risk Measures -- 1.3 Risk-Return Preferences and Portfolio Optimization -- 1.4 The Capital Asset Pricing Model and Its Applications to Risk Analysis -- 1.5 The Objectives and Limitations of Portfolio Risk Analysis -- 2 Unstructured Covariance Matrices -- 2.1 Estimating Return Covariance Matrices -- 2.2 The Error-Maximization Problem -- 2.3 Portfolio Choice as Decision Making under Uncertainty -- 3 Industry and Country Risk -- 3.1 Industry-Country Component Models -- 3.2 Empirical Evidence on the Relative Magnitudes of Country and Industry Risks -- 3.3 Sector-Currency Models of Corporate Bond Returns -- 4 Statistical Factor Analysis -- 4.1 Types of Factor Models -- 4.2 Approximate Factor Models -- 4.3 The Arbitrage Pricing Theory -- 4.4 Small-n Estimation Methods -- 4.5 Large-n Estimation Methods -- 4.6 Number of Factors -- 5 The Macroeconomy and Portfolio Risk -- 5.1 Estimating Macroeconomic Factor Models -- 5.2 Event Studies of Macroeconomic Announcements -- 5.3 Macroeconomic Policy Endogeneity -- 5.4 Business Cycle Betas -- 5.5 Empirical Fit and the Relative Value of Macroeconomic Factor Models -- 6 Security Characteristics and Pervasive Risk Factors -- 6.1 Equity and Fixed-Income Characteristics -- 6.2 Characteristic-Based Factor Models of Equities -- 6.3 The Fama-French Model and Extensions -- 6.4 The Semiparametric Approach to Characteristic-Based Factor Models -- 7 Measuring and Hedging Foreign Exchange Risk -- 7.1 Definitions of Foreign Exchange Risk -- 7.2 Optimal Currency Hedging -- 7.3 Currency Covariances with Stock and Bond Returns -- 7.4 Macroeconomic Influences on Currency Returns -- 8 Integrated Risk Models -- 8.1 Global and Regional Integration Trends.

8.2 Risk Integration across Asset Classes -- 8.3 Segmented Asset Allocation and Security Selection -- 8.4 Integrated Risk Models -- 9 Dynamic Volatilities and Correlations -- 9.1 GARCH Models -- 9.2 Stochastic Volatility Models -- 9.3 Time Aggregation -- 9.4 Downside Correlation -- 9.5 Option-Implied Volatility -- 9.6 The Volatility Term Structure at Long Horizons -- 9.7 Time-Varying Cross-Sectional Dispersion -- 10 Portfolio Return Distributions -- 10.1 Characterizing Return Distributions -- 10.2 Estimating Return Distributions -- 10.3 Tail Risk -- 10.4 Nonlinear Dependence between Asset Returns -- 11 Credit Risk -- 11.1 Agency Ratings and Factor Models of Spread Risk -- 11.2 Rating Transitions and Default -- 11.3 Credit Instruments -- 11.4 Conceptual Approaches to Credit Risk -- 11.5 Recovery at Default -- 11.6 Portfolio Credit Models -- 11.7 The 2007-8 Credit-Liquidity Crisis -- 12 Transaction Costs and Liquidity Risk -- 12.1 Some Basic Terminology -- 12.2 Measuring Transactions Cost -- 12.3 Statistical Properties of Liquidity -- 12.4 Optimal Trading Strategies and Transaction Costs -- 13 Alternative Asset Classes -- 13.1 Nonsynchronous Pricing and Smoothed Returns -- 13.2 Time-Varying Risk, Nonlinear Payoff, and Style Drift -- 13.3 Selection and Survivorship Biases -- 13.4 Collectibles: Measuring Return and Risk with Infrequent and Error-Prone Observations -- 13.5 Summary -- 14 Performance Measurement -- 14.1 Return-Based Performance Measurement -- 14.2 Holdings-Based Performance Measurement and Attribution -- 14.3 Volatility Forecast Evaluation -- 14.4 Value-at-Risk Hit Rates -- 14.5 Forecast and Realized Return Densities -- 15 Conclusion -- 15.1 Some Key Messages -- 15.2 Questions for Future Research -- References -- Index -- A -- B -- C -- D -- E -- F -- G -- H -- I -- J -- K -- L -- M -- N -- O -- P -- Q -- R -- S -- T -- U -- V -- W -- X.

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