Risk Budgeting (PDF)
Portfolio Problem Solving with Value-at-Risk
(Sprache: Englisch)
Covers the hottest topic in investment for multitrillion pension
market and institutional investors
Institutional investors and fund managers understand they must take
risks to generate superior investment returns, but the question is
how much. Enter...
market and institutional investors
Institutional investors and fund managers understand they must take
risks to generate superior investment returns, but the question is
how much. Enter...
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Covers the hottest topic in investment for multitrillion pension
market and institutional investors
Institutional investors and fund managers understand they must take
risks to generate superior investment returns, but the question is
how much. Enter the concept of risk budgeting, using quantitative
risks measurements, including VaR, to solve the problem. VaR, or
value at risk, is a concept first introduced by bank dealers to
establish parameters for their market short-term risk exposure.
This book introduces VaR, extreme VaR, and stress-testing risk
measurement techniques to major institutional investors, and shows
them how they can implement formal risk budgeting to more
efficiently manage their investment portfolios. Risk Budgeting is
the most sophisticated and advanced read on the subject out there
in the market.
market and institutional investors
Institutional investors and fund managers understand they must take
risks to generate superior investment returns, but the question is
how much. Enter the concept of risk budgeting, using quantitative
risks measurements, including VaR, to solve the problem. VaR, or
value at risk, is a concept first introduced by bank dealers to
establish parameters for their market short-term risk exposure.
This book introduces VaR, extreme VaR, and stress-testing risk
measurement techniques to major institutional investors, and shows
them how they can implement formal risk budgeting to more
efficiently manage their investment portfolios. Risk Budgeting is
the most sophisticated and advanced read on the subject out there
in the market.
Inhaltsverzeichnis zu „Risk Budgeting (PDF)“
PART ONE: INTRODUCTION. What are Value-at-Risk and Risk Budgeting? Value-at-Risk of a Simple Equity Portfolio. PART TWO: TECHNIQUES OF VALUE-AT-RISK AND STRESS TESTING. The Delta-Normal Method. Historical Simulation. The Delta-Normal Method for a Fixed Income Portfolio. Monte Carlo Simulation. Using Factor Models to Compute the VaR of Equity Portfolios. Using Principal Components to Compute the VaR of Fixed-Income Portfolios. Stress Testing. PART THREE: RISK DECOMPOSITION AND RISK BUDGETING. Decomposing Risk. A "Long-Short" Hedge Fund Manager. Aggregating and Decomposing the Risks of Large Portfolios. Risk Budgeting and the Choice of Active Managers. PART FOUR: REFINEMENTS OF THE BASIC METHODS. Delta-Gamma Approaches. Variants of the Monte Carlo Approach. Extreme Value Theory and VaR. PAART FIVE: LIMITATIONS OF VALUE-AT-RISK. VaR Is Only an Estimate. Gaming the VaR. Coherent Risk Measures. PART SIX: CONCLUSION. A Few Issues in Risk Budgeting. References. Index.
Autoren-Porträt von Neil D. Pearson
NEIL D. PEARSON, PhD, is an Associate Professor of Finance at the University of Illinois at Urbana-Champaign. His research includes work on the development, estimation, and evaluation of models for pricing and hedging various derivatives and other financial instruments. Dr. Pearson has published papers in a number of academic journals, and is an Associate Editor of both the Journal of Financial Economics and the Journal of Financial and Quantitative Analysis. He has consulted for a number of U.S. and international banks, working on term structure models, the evaluation of derivatives pricing models, and issues that arise in the computation of Value-at-Risk measures. He received his PhD from the Massachusetts Institute of Technology.
Bibliographische Angaben
- Autor: Neil D. Pearson
- 2003, 1. Auflage, 336 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 0471234338
- ISBN-13: 9780471234333
- Erscheinungsdatum: 07.10.2003
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
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- Größe: 2.89 MB
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Sprache:
Englisch
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