Quantitative Risk and Portfolio Management
Theory and Practice

A book combining the rigour of academic finance with the pragmatism of hands-on finance.

Kenneth J. Winston (Author)

9781009209045, Cambridge University Press

Hardback, published 21 September 2023

927 pages
26 x 18.3 x 3.4 cm, 1.44 kg

'This is the book that I wish I had been able to have when I switched from applied math/ engineering to applied finance more than thirty years ago. In essence, the book fills a very important void: how to approach financial engineering problems from the practitioner's viewpoint. A must-have for risk managers and investment professionals.' Arturo Cifuentes, Chile Sovereign Fund

A comprehensive modern introduction to risk and portfolio management for quantitatively adept advanced undergraduate and beginning graduate students who will become practitioners in the field of quantitative finance. With a focus on real-world application, but providing a background in academic theory, this text builds a firm foundation of rigorous but practical knowledge. Extensive live data and Python code are provided as online supplements, allowing a thorough understanding of how to manage risk and portfolios in practice. With its detailed examination of how mathematical techniques are applied to finance, this is the ideal textbook for giving students with a background in engineering, mathematics or physics a route into the field of quantitative finance.

Preface
1. What is risk?
2. Risk metrics
3. Fixed income modeling
4. Equity modeling
5. Convex optimization
6. Factor models
7. Distributions
8. Simulation, scenarios and stress testing
9. Time-varying volatility
10. Modeling relationships
11. Credit modeling
12. Hedging
References
Index.

Subject Areas: Finance [KFF]