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Printable Handouts
Navigable Slide Index
- Introduction
- Stock risk models - Why bother?
- Generic risk modelling
- Building a generic risk model
- Generic stock return and risk
- Covariance between stocks
- Generic notation
- Generic portfolio holdings
- Generic portfolio return (1)
- Generic portfolio return (2)
- Generic portfolio risk
- Practical risk modelling
- Two significant decisions -- Tree diagram
- Practical choices (1)
- Practical choices (2)
- Practical issues
- Issues of observability and the number of numbers
- Practical consequences at the stock level
- Practial consequences at the portfolio level (1)
- Practical consequences at the portfolio level (2)
- A short digression
- Stock selection model application
- Stock selection models?
- Choosing the right factors
- Factor orthogonality
- Choosing factors for a risk model
- Summary
Topics Covered
- Stock risk models for portfolio risk analysis
- Generic risk model data
- Betas and covariances
- Two significant choices about structure and their consequences for estimation error
- The impact on portfolio risk forecasts
- A short digression on stock selection
- Choosing factors
Talk Citation
MacQueen, J. (2007, October 1). The structure of equity risk models [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved November 13, 2024, from https://doi.org/10.69645/TBQJ9828.Export Citation (RIS)