Chapters in this book

1. Frontmatter i
2. Contents vii
3. Acknowledgments xi
4. Introduction xiii
5. Key Notation xix
6. 1. Measures of Risk and Return 1
7. 2. Unstructured Covariance Matrices 36
8. 3. Industry and Country Risk 61
9. 4. Statistical Factor Analysis 79
10. 5. The Macroeconomy and Portfolio Risk 101
11. 6. Security Characteristics and Pervasive Risk Factors 117
12. 7. Measuring and Hedging Foreign Exchange Risk 134
13. 8. Integrated Risk Models 155
14. 9. Dynamic Volatilities and Correlations 167
15. 10. Portfolio Return Distributions 191
16. 11. Credit Risk 212
17. 12. Transaction Costs and Liquidity Risk 241
18. 13. Alternative Asset Classes 271
19. 14. Performance Measurement 299
20. 15. Conclusion 319
21. References 323
22. Index 345