Guided by graph theory, Network Models in Finance: Expanding the Tools for Portfolio and Risk Management provides a comprehensive overview of networks in investment management, delivering strong knowledge of various types of networks, important characteristics, estimation, and their implementation in portfolio and risk management. With insights into the complexities of financial markets with respect to how individual entities interact within the financial system, this book enables readers to construct diversified portfolios by understanding the link between price/return movements of different asset classes and factors, perform better risk management through understanding systematic, systemic risk and counterparty risk, and monitor changes in the financial system that indicate a potential financial crisis.
With a practitioner-oriented approach, this book includes coverage of: - Practical examples of broad financial data to show the vast possibilities to visualize, describe, and investigate markets in a completely new way - Interactions, Causal relationships and optimization within a network-based framework and direct applications of networks compared to traditional methods in finance - Various types of algorithms enhanced by programming language codes that readers can implement and use for their own data
Network Models in Finance: Expanding the Tools for Portfolio and Risk Management is an essential read for asset managers and investors seeking to make use of networks in research, trading, and portfolio management.
Table of Contents
Contents
Preface……………………………………………………………………………………………………………………………………………XX
Acknowledgments…………………………………………………………………………………………………………………………..XX
About the Authors……………………………………………………………………………………………………………………………XX
Chapter 1: Introduction……………………………………………………………………………………………………………………XX
Chapter 2: The Basic Structure of a Network…………………………………………………………………………………XX
Chapter 3: Network Properties………………………………………………………………………………………………………XX
Chapter 4: Network Centrality Metrics………………………………………………………………………………………..…XX
Chapter 5: Network Modeling………………………………………………………………………………………………………….XX
Chapter 6: Foundations for Building Portfolio Networks - Link Prediction and Association Models………………………………………………………………………………………………………………………………………………XX
Chapter 7: Foundations for Building Portfolio Networks - Statistical and Econometric Models…………………………………………………………………………………………………………………..…………………………XX
Chapter 8: Building Portfolio Networks - Probabilistic Models……………………………………………………..XX
Chapter 9: Network Processes in Asset Management……………………………………………………………………XX
Chapter 10: Portfolio Allocation with Networks………………………………………………………………………………XX
Chapter 11: Systematic and Systemic Risk, Spillover, and Contagion…………………………………………XX
Chapter 12: Networks in Risk Management………………………..…………………………………………………………XX
References………………………………………………………………………………………………………………………..……………XX
Index………………………………………………………………………………………………………………………………………………..XX
