Brand New, Unread Copy in Perfect Condition. A+ Customer Service! Summary: 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. Buchnummer des Verkäufers
Inhaltsangabe: 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.
To successfully manage an investment portfolio, institutional investors and fund managers understand they must take risks to generate superior investment returns. The more complicated question is, "How much risk should they take?" In Risk Budgeting: Portfolio Problem Solving with Value-at-Risk, expert Neil Pearson introduces the concept of risk budgeting and describes the tools and techniques that underlie it, namely Value-at-Risk (VaR) and risk decomposition.
Risk Budgeting presents sophisticated ideas but avoids the use of high-level mathematics so you can easily understand the techniques and immediately begin to implement a formal risk budgeting plan. You'll be able to more efficiently manage an investment portfolio that consists of everything from equities and bonds to commodities and derivatives.
Focusing strictly on the techniques for accomplishing risk budgeting, this comprehensive guide will give institutional investors, fund managers, and portfolio managers a complete working knowledge of VaR-its use in measuring and identifying the risks of investment portfolios as well as its use in risk budgeting. Insightful case studies and useful charts illustrating examples of VaR, extreme VaR, and stress testing risk measurement techniques will help any professional look down the financial road and make proper adjustments, minimizing potential risk.
Step by step, Risk Budgeting takes you through the concept of risk budgeting as an investment process and VaR as a risk measurement technique:
* Presenting the concepts of VaR in an equity portfolio and introducing the ways it can be used in risk decomposition and budgeting
* Analyzing the approaches to computing VaR and creating scenarios for stress testing
* Using VaR in risk budgeting
* Recognizing the limitations of VaR
Finding and dealing with the risk of any type of portfolio has become increasingly difficult within the new financial environment. Improve your risk management skills with Risk Budgeting, and learn how VaR can be used as an integral part of your own risk management framework.
Buchbeschreibung Wiley, 2002. Hardcover. Buchzustand: New. Same ISBN, Alternate Cover (Blue and Yellow). Brand New Book and Dust Jacket! SHIPS WITHIN 24 HOURS! Tracking Provided. DHL processing & USPS delivery for an average of 3-5 Day Standard & 2-3 Day Expedited! FREE INSURANCE! Fast & Personal Support! Careful Packaging. No Hassle, Full Refund Return Policy!. Buchnummer des Verkäufers mon0000654522
Buchbeschreibung Wiley, 2002. Hardcover. Buchzustand: Very Good. Open Books is a nonprofit social venture that provides literacy experiences for thousands of readers each year through inspiring programs and creative capitalization of books. Buchnummer des Verkäufers mon0000318838
Buchbeschreibung Wiley, 2002. Hardcover. Buchzustand: New. book. Buchnummer des Verkäufers 0471405566
Buchbeschreibung JOHN WILEY & SONS, United States, 2002. Hardcover. Buchzustand: Good. Zustand des Schutzumschlags: Good. HARDCOVER Legendary independent bookstore online since 1994. Reliable customer service and no-hassle return policy. Business>Accounting and Finance. Book: USED, Good. Dust Jacket: Good. Bookseller Inventory # 01978047140556600. Buchnummer des Verkäufers 01978047140556600
Buchbeschreibung Wiley, 2002. Hardcover. Buchzustand: New. 1. Buchnummer des Verkäufers DADAX0471405566
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