En savoir plus
Zusatztext Institutionelle Anleger! Fonds- und Portfoliomanager müssen Risiken eingehen!wenn sie Spitzengewinne erzielen wollen. Die Frage ist nur wieviel Risiko."Risk Budgeting: Portfolio Problem Solving with VaR" liefert die Antwortauf diese Frage. Beim Konzept des Risk Budgeting geht es um Risiko- undKapitalallokation auf der Grundlage erwarteter Erträge und Risiken! mitdem Ziel! höhere Renditen zu erwirtschaften im Rahmen eines vordefiniertenGesamtrisikoniveaus. Mit Hilfe quantitativer Methoden zur Risikomessung!einschließlich der Value at Risk-Methode läßt sich das Risiko ermittelnund bewerten. Value at Risk (VaR) ist ein Verfahren zur Risikobewertung!das Banken ursprünglich zur Messung und Begrenzung von Marktpreisrisikeneingesetzt haben. Heute wird die VaR-Methode auch verstärkt im Risikomanagementeingesetzt. Dieses Buch bietet eine fundierte Einführung in die VaR-Methodesowie in Verfahren zur Risikomessung bei Extremereignissen und Krisenszenarien(Stress Testing). Darüber hinaus erklärt es! wie man mit Hilfe des RiskBudgeting ein effizienteres Portfoliomanagement erreicht. "Risk Budgeting:Portfolio Problem Solving with VaR" ist das einzige Buch auf dem Markt!das Risk Budgeting und VaR - zwei brandaktuelle Themen im Portfoliomanagement- speziell für institutionelle Investment- und Portfolio-Manager aufbereitet.Eine unverzichtbare Lektüre. Informationen zum Autor 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. Klappentext Praise for Risk budgeting "Professor Pearson has raised the bar for books on market risk. Moving beyond descriptions of VaR calculation and stress testing, he provides careful discussions of both the refinements and the limits of the VaR technique. Even more importantly, this book provides structure to the heretofore vague idea of 'risk budgeting.' " -Charles Smithson, Managing Partner, Rutter Associates "Pearson has written an excellent resource for risk management practitioners who actually need to compute and use VaR. Numerous concrete examples make a broad range of VaR techniques accessible to the people who actually need to use them. The book also provides tangible applications of risk budgeting, a term often used but rarely made relevant. Pearson has put meat on the bones for plan sponsors who want to actually employ risk budgeting techniques." -Bennett Golub, Co-head of Risk Management and Analytics, Founding Partner, BlackRock "An excellent book. This text provides a bridge from the theoretical to the practical, and clears the fog between the buzzwords of risk budgeting and the realities of a useful new portfolio management tool. Pearson's writing is well balanced between needed academic foundation and the practicalities of managing portfolios." -Rob Roy, Director, Cash and Investments, Adventist Health System "I just wish I could summarize this book as ably as Professor Pearson summarizes the voluminous literature on Value-at-Risk. Unfortunately, I suspect no further compression is possible. To reduce the risk of reading rubbish, your best bet is to read this book." -Dr. Peter Carr, Senior Consultant, Risk Capital Management Zusammenfassung VaR, or value at ...
