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Risk Information and Management by W. Brent Lindquist; Svetlozar T. Rachev; Yuan Hu; Abootaleb Shirvani is a book available to read on EtoBox.

What is Risk Information and Management about?

Focusing on risk-management tools, this chapter covers three topics that concern risk information and management: early warning systems (Sect. 10.1); risk budgets, incremental risk, and component risk (Sect. 10.3); and factor analysis (Sect. 10.4). To complement the discussion of component risk, in Sect. 10.2 we discuss the time evolution of asset weights. Timely and accurate information is essential in managing investment risk. An early warning system continually tests market risk and has the potential to forecast distressed market periods. There are open questions regarding the capability of early warning systems, including concerns about signal-to-noise ratio and how early detection can be achieved. We consider two warning systems, the first based on the tail-loss ratio (TLR) and the second on Mahalanobis distance. We apply these warning systems to historical data for the one general market index (SPY: SPDR S&P 500 ETF Trust) and three REIT indices (WD, WP, and FNRE) used in Chap. 3 and compare the results to known global-market upheavals. Changes made to a portfolio (either in normal investment mode or in response to anticipated market disruption) alter investment risk. The cha

Author

W. Brent Lindquist; Svetlozar T. Rachev; Yuan Hu; Abootaleb Shirvani

Publisher

Springer International Publishing AG

Published

2022

Language

EN

ISBN

9783031152856

Subjects

Management, Finance, Business