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Risk budgeting : portfolio problem solving with Value-at-risk

Author: Neil D Pearson
Publisher: New York : J. Wiley, 2002.
Series: Wiley finance series.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

VaR, or value at risk, is a concept introduced by bank dealers to establish parameters for their market short-term risk exposure. This text introduces VaR, extreme VaR, and stress-testing risk  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Neil D Pearson
ISBN: 0471405566 9780471405566
OCLC Number: 47767014
Description: x, 321 pages : illustrations ; 24 cm.
Contents: pt. 1. Introduction. Ch. 1. What Are Value-at-Risk and Risk Budgeting? Ch. 2. Value-at-Risk of a Simple Equity Portion --
pt. 2. Techniques of Value-at-Risk and Stress Testing. Ch. 3. The Delta-Normal Method. Ch. 4. Historical Simulation. Ch. 5. The Delta-Normal Method for a Fixed-Income Portfolio. Ch. 6. Monte Carlo Simulation. Ch. 7. Using Factor Models to Compute the VaR of Equity Portfolios. Ch. 8. Using Principal Components to Compute the VaR of Fixed-Income Portfolios. Ch. 9. Stress Testing --
pt. 3. Risk Decomposition and Risk Budgeting. Ch. 10. Decomposing Risk. Ch. 11. A Long-Short Hedge Fund Manager. Ch. 12. Aggregating and Decomposing the Risks of Large Portfolios. Ch. 13. Risk Budgeting and the Choice of Active Managers.
Series Title: Wiley finance series.
Responsibility: Neil D. Pearson.
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