Risk Budgeting

Risk Budgeting

by Leslie Rahl (Editor)

Hardcover

$168.95

Product Details

ISBN-13: 9781899332946
Publisher: Risk Books
Publication date: 01/11/2003
Pages: 349
Product dimensions: 6.10(w) x 9.25(h) x (d)

Table of Contents

Risk Budgeting
A New Approach to Investing

CONTENTS
Introduction
Leslie Rahl
Part 1: OVERVIEW
1 Risk Budgeting: The Next Step of the Risk Management
Journey - The Veteran's Prospective
Leslie Rahl

2 Crisis and Risk Management
Myron Scholes
PART 2: UNDERSTANDING RISK BUDGETING
3 Risk Budgeting: Managing Active Risk at the Total Fund Level
Kurt Winkelmann

4 The Dangers of Historical Hedge Fund Data
Andrew B. Weisman and Jerome Abernathy

5 Value-at-Risk for Asset Managers
Christopher L. Culp, Ron Mensink and Andrea M.P. Neves

6 Risk Budgeting fore Pension Funds and Investment
Managers using VAR
Michelle McCarthy

7 Risk Budgeting for Active Investment Managers
Robert Litterman, Jacques Longerstaey, Jacob Rosengarten and Kurt Winkelmann

8 Risk Obsession: Does it Lead to Risk Aversion?
Amy B. Hirsch

9 Market Neutral and Hedged Strategies
Joseph G. Nicholas

10 The Infrastructure Challenge: Empowering the Stakeholder through the Successful Deployment of
Technology and Data
Gabriel Bousbib
PART 3: PRACTITIONERS' THOUGHTS: CASE STUDIES IN RISK BUDGETING
11 Risk Budgeting in a Pension Fund
Leo de Bever, Wayne Kozun and Barbara Zvan

12 Risk Budgeting with Conditional Risk Tolerance
Michael de Marco and Todd E. Petzel

13 VAR for Fund Managers
Stephen Rees

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