Risk Budgeting

PART ONE: INTRODUCTION.

What are Value-at-Risk and Risk Budgeting?

Value-at-Risk of a Simple Equity Portfolio.

PART TWO: TECHNIQUES OF VALUE-AT-RISK AND STRESS TESTING.

The Delta-Normal Method.

Historical Simulation.

The Delta-Normal Method for a Fixed Income Portfolio.

Monte Carlo Simulation.

Using Factor Models to Compute the VaR of Equity Portfolios.

Using Principal Components to Compute the VaR of Fixed-Income Portfolios.

Stress Testing.

PART THREE: RISK DECOMPOSITION AND RISK BUDGETING.

Decomposing Risk.

A "Long-Short" Hedge Fund Manager.

Aggregating and Decomposing the Risks of Large Portfolios.

Risk Budgeting and the Choice of Active Managers.

PART FOUR: REFINEMENTS OF THE BASIC METHODS.

Delta-Gamma Approaches.

Variants of the Monte Carlo Approach.

Extreme Value Theory and VaR.

PAART FIVE: LIMITATIONS OF VALUE-AT-RISK.

VaR Is Only an Estimate.

Gaming the VaR.

Coherent Risk Measures.

PART SIX: CONCLUSION.

A Few Issues in Risk Budgeting.

References.

Index.

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• Investimentos e obrigações
• Decisões de gestão

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