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Risk Budgeting: Portfolio Problem Solving with Value-at-Risk (Wiley Finance)
written by Neil D. Pearson
Studio : Wiley
by Wiley
Publisher : Wiley
Released : 2002-01-18
Availability : Usually ships in 1-2 business days
Number of Items : 1
EAN : 9780471405566
Avg. Customer Rating: (based on 3 reviews)
List Price : $95.00
Our Price : $54.51
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Product Description |
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. |
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Great VaR book, lacking in Risk Budgeting |
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Prof. Pearson has done an excellent job describing VaR and how downside risk fits into the portfolio selection process. His book is the only book on VaR that I am aware of to provide a rigorous treatment of methods for encorporating non-normality of returns into the VaR estimate (by means of the Cornish-Fisher approximation or other approaches), surpassing even Jorion's "Value-at-Risk" in this regard. The treatment of Risk Busdgeting starts with a reasonable definition, but then drops to short references throughout the book and a brief treatment at the end about including VaR measures in a risk budgeting portfolio management approach. I would also liked to have seen the code used to create the examples published with the book, even though this is not a book on implementation. |
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Hands on and rigorous |
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A very well written book on Risk Budgeting from a modern perspective. VAR methodologies, stress testing and working examples are very well written and a must for anyone wanting to either get into the risk measurement/ management field or an advanced practitioner in the field. I would highly recommend this book for someone wanting to get the both the theoritical and hands on practical approach to risk measurement of equity and fixed income portfolios. |
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Title and subject don't match. |
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This is a book on VaR masquerading as a book on Risk Budgeting. I would guess that the publisher changed the name of the book. There are about fourty pages of three hundred that actually deal with risk budgeting: the first 153 pages are an outline of VaR. Its a fair introduction to VaR, but the title is misleading. |
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