Logotipo librería Marcial Pons

Risk budgeting
portfolio problem solving with value-at-risk

  • ISBN: 9780471405566
  • Editorial: John Wiley & Sons Limited
  • Lugar de la edición: New York. Estados Unidos de Norteamérica
  • Colección: WILEY FINANCE
  • Encuadernación: Cartoné
  • Medidas: 25 cm
  • Nº Pág.: 321
  • Idiomas: Inglés

Papel: Cartoné
70,45 €
Sin Stock. Envío en 3/4 semanas.


Institutional investors and fund managers understand they must take risks to generate superior investment returns, but the question is how much risk. 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. "Risk Budgeting" 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. It includes case studies which show all potential users of VAR and risk budgeting concepts how they can implement this highly disciplined and quantitative risk measurement process themselves. and introduces state- of-the-art VAR techniques and uncovers new mathematical wrinkles. Table of Contents INTRODUCTION What are Value-at-Risk and Risk Budgeting? A Simple Equity Portfolio 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 Value-at-Risk of Equity Portfolios Using Principal Components to Compute the Value-at-Risk of Fixed Income Portfolios Stress Testing 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 REFINEMENTS OF THE BASIC METHODS Delta-Gamma Approaches Variants of the Monte Carlo Approach Extreme Value Theory and VaR LIMITATIONS OF VALUE-AT-RISK VaR Is Only an Estimate Gaming the VaR Coherent Risk Measures CONCLUSION A Few Issues in Risk Budgeting References


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