Risk Budgeting

Financial Risk Management

Risk Budgeting

By Leslie Rahl
Risk Books November 2003

Specifications

ISBN-13
9781899332946
Publisher
Risk Books
Publication
November 2003
Format
Paperback
Jurisdiction
International ? Countri(es) for reference only

Details

A practical and authoritative introduction to the concept of risk unit allocation as an alternative and more effective decision-making process for long-term investors.

  • Make an informed decision about how to implement and execute a ’risk unit allocation’ investment policy
  • Analysis of techniques to assess how risk might impact long-term investment returns
  • Introduces methods to allocate assets based on the ’risk unit’ exposures - in individual asset classes and on a portfolio basis, to meet long-term pension obligations and investment return objectives
  • Investigates ways to use VAR to accommodate a long-term investment horizon
  • Contributions from leading experts drawn from consultancies; large institutional investors; pension plans; investment banks and academia


Table of 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

About the Author

Leslie Rahl

Ms. Rahl is the founder and Managing Partner of Capital Market Risk Advisors (CMRA), a pre-eminent risk management and risk governance boutique.  As true "experts" whose practice is balanced between clients who are trying to avoid/solve problems and those who are litigating/investigating problems, CMRA is uniquely positioned to provide both pro-active and re-active services and has serviced hundreds of clients on six continents over two decades.

Ms. Rahl was a pioneer in the development of the swaps, caps and derivatives business which she co-headed at Citibank in the 1980s.  She served as a Director of ISDA for five years.  She is a member of the CIBC Board and Risk Committee.  Ms. Rahl is the author of two previous books and numerous articles on risk.  After a 19-year career at Citibank, Ms. Rahl formed and has run CMRA for over 20 years.  She has an MBA from the Sloan School at MIT and an SB from MIT.

Reviews

“Rahl has done an excellent job in providing a collection of articles that clearly bring together the concepts surrounding risk budgeting, which should be essential reading for anyone with an interest in this area.“

Douglas Long, Principia Partners

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