Portfolio Management under Stress: A Bayesian-Net Approach to Coherent Asset Allocation - Hardcover

Rebonato, Riccardo; Denev, Alexander

Hardcover

ISBN 10: 1107048117 ISBN 13: 9781107048119

Publisher: Cambridge University Press, 2014

Synopsis

A rigorous presentation of a novel methodology for asset allocation in financial portfolios under conditions of market distress.

About this title

About the Authors

Riccardo Rebonato is Global Head of Rates and FX Analytics at PIMCO, and a visiting lecturer in Mathematical Finance at Oxford University (OCIAM). He has previously held positions as Head of Risk Management and Head of Derivatives Trading at several major international financial institutions. Dr Rebonato has been on the Board of ISDA (2002–2011) and still serves on the Board of GARP (2001 to present). He is the author of several books in finance and an editor for several journals (International Journal of Theoretical and Applied Finance, Journal of Risk, Applied Mathematical Finance, Journal of Risk for Financial Institutions).

Alexander Denev is a Senior Team Leader in the Risk Models department at The Royal Bank of Scotland. He is specialised in Credit Risk, Regulations, Asset Allocation and Stress Testing, and has previously worked in management roles at the European Investment Bank, Société Générale and the National Bank of Greece.

Edition details

• Publisher: Cambridge University Press
• Publication date: 2014
• Language: English
• ISBN 10: 1107048117
• ISBN 13: 9781107048119
• Binding: Hardcover
• Number of pages: 518