Risk Budgeting: A New Approach to Investing - Hardcover

Rahl, Leslie

Hardcover

ISBN 10: 1899332944 ISBN 13: 9781899332946

Publisher: Risk Books, 1999

Synopsis

This is 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. It sets out to help investors make an informed decision about how to implement and execute a "risk unit allocation" investment policy, and analyzes techniques to assess how risk might impact long-term investment returns. The book also 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. There are contributions from leading experts drawn from consultancies; large institutional investors; pension plans; investment banks and academia.

About this title

Review:

Given the constantly changing nature of Value at Risk, Risk Budgeting offers solid perspectives on managing risk...while more advanced practitioners can use it as a reference to call upon when structuring their own VAR programs. Paul Barr, Reporter, Hedge World "In all 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 involved in this area." Douglas Long, Principia Partners

About the Author:

Leslie Rahl is president of Capital Market Risk Advisors, Inc, a risk management consultancy firm. Prior to founding her consultancy firm in 1991, Leslie spent 19 years at Citibank, nine of which were as head of Citibank's Derivatives Group in North America. Ms Rahl was named among the "Top 50 Women in Finance" by Euromoney in 1997 and was profiled in both the fifth and 10th anniversary issues of Risk magazine. She has been published numerous times. She was a director of the International Swaps and Derivatives Association (ISDA) for 5 years and is currently a member of the Board of the International Association of Financial Engineers and the Fischer Black Memorial Foundation and a member of the Board of Advisors for the financial engineering programme at the Sloan School. Ms Rahl received her undergraduate degree in computer science from the Massachusetts Institute of Technology and her MBA from the Sloan School of Management.

About this edition

• Publisher: Risk Books
• Publication date: 1999
• ISBN 10: 1899332944
• ISBN 13: 9781899332946
• Binding: Hardcover
• Number of pages: 300