Printable Handouts

PDF

Navigable Slide Index

1. Introduction
2. Stock risk models - Why bother?
3. Generic risk modelling
4. Building a generic risk model
5. Generic stock return and risk
6. Covariance between stocks
7. Generic notation
8. Generic portfolio holdings
9. Generic portfolio return (1)
10. Generic portfolio return (2)
11. Generic portfolio risk
12. Practical risk modelling
13. Two significant decisions -- Tree diagram
14. Practical choices (1)
15. Practical choices (2)
16. Practical issues
17. Issues of observability and the number of numbers
18. Practical consequences at the stock level
19. Practial consequences at the portfolio level (1)
20. Practical consequences at the portfolio level (2)
21. A short digression
22. Stock selection model application
23. Stock selection models?
24. Choosing the right factors
25. Factor orthogonality
26. Choosing factors for a risk model
27. 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

Links

Series:

• Quantitative Financial Risk Management

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on October 1, 2007
• Archived on April 4, 2022