Risk Budgeting by Neil D. Pearson
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Risk Budgeting
By Neil D. Pearson

Risk Budgeting

Portfolio Problem Solving with Value-at-risk

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Format: Hardback

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Risk Budgeting by Neil D. Pearson

Book 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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Book Details

ISBN: 9780471405566
ISBN-10: 0471405566
Format: Hardback
(234mm x 159mm x 25mm)
Pages: 336
Imprint: John Wiley & Sons Inc
Publisher: John Wiley and Sons Ltd
Publish Date: 13-Feb-2002
Country of Publication: United States

Books By Author Neil D. Pearson


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Author Biography - Neil D. Pearson

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.

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