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Risk Budgeting on Hardback by Neil D Pearson
Risk Budgeting on Hardback by Neil D Pearson
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Risk Budgeting

Portfolio Problem Solving with Value-at-Risk
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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.

Author Biography:

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.
Release date Australia
February 13th, 2002
Audiences
  • Postgraduate, Research & Scholarly
  • Professional & Vocational
  • Undergraduate
Illustrations
Tables: 44 B&W, 0 Color; Graphs: 25 B&W, 0 Color
Pages
336
Dimensions
159x234x26
ISBN-13
9780471405566
Product ID
2085606

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