{"product_id":"risk-budgeting-portfolio-problem-solving-with-valueatrisk-74-wiley-finance-9780471405566","title":"Risk Budgeting Portfolio Problem Solving with","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eVaR, 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 measurement techniques to major institutional investors.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003ePART ONE: INTRODUCTION.\u003cbr\u003e \u003cbr\u003e What are Value-at-Risk and Risk Budgeting?\u003cbr\u003e \u003cbr\u003e Value-at-Risk of a Simple Equity Portfolio.\u003cbr\u003e \u003cbr\u003e PART TWO: TECHNIQUES OF VALUE-AT-RISK AND STRESS TESTING.\u003cbr\u003e \u003cbr\u003e The Delta-Normal Method.\u003cbr\u003e \u003cbr\u003e Historical Simulation.\u003cbr\u003e \u003cbr\u003e The Delta-Normal Method for a Fixed Income Portfolio.\u003cbr\u003e \u003cbr\u003e Monte Carlo Simulation.\u003cbr\u003e \u003cbr\u003e Using Factor Models to Compute the VaR of Equity Portfolios.\u003cbr\u003e \u003cbr\u003e Using Principal Components to Compute the VaR of Fixed-Income Portfolios.\u003cbr\u003e \u003cbr\u003e Stress Testing.\u003cbr\u003e \u003cbr\u003e PART THREE: RISK DECOMPOSITION AND RISK BUDGETING.\u003cbr\u003e \u003cbr\u003e Decomposing Risk.\u003cbr\u003e \u003cbr\u003e A \"Long-Short\" Hedge Fund Manager.\u003cbr\u003e \u003cbr\u003e Aggregating and Decomposing the Risks of Large Portfolios.\u003cbr\u003e \u003cbr\u003e Risk Budgeting and the Choice of Active Managers.\u003cbr\u003e \u003cbr\u003e PART FOUR: REFINEMENTS OF THE BASIC METHODS.\u003cbr\u003e \u003cbr\u003e Delta-Gamma Approaches.\u003cbr\u003e \u003cbr\u003e Variants of the Monte Carlo Approach.\u003cbr\u003e \u003cbr\u003e Extreme Value Theory and VaR.\u003cbr\u003e \u003cbr\u003e PAART FIVE: LIMITATIONS OF VALUE-AT-RISK.\u003cbr\u003e \u003cbr\u003e VaR Is Only an Estimate.\u003cbr\u003e \u003cbr\u003e Gaming the VaR.\u003cbr\u003e \u003cbr\u003e Coherent Risk Measures.\u003cbr\u003e \u003cbr\u003e PART SIX: CONCLUSION.\u003cbr\u003e \u003cbr\u003e A Few Issues in Risk Budgeting.\u003cbr\u003e \u003cbr\u003e References.\u003cbr\u003e \u003cbr\u003e Index.","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49402588987735,"sku":"9780471405566","price":71.25,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9780471405566.jpg?v=1730480868","url":"https:\/\/bookcurl.com\/products\/risk-budgeting-portfolio-problem-solving-with-valueatrisk-74-wiley-finance-9780471405566","provider":"Book Curl","version":"1.0","type":"link"}