Value at Risk and Bank Capital Management Book
Score: 5
From 1 Ratings

Value at Risk and Bank Capital Management


  • Author : Francesco Saita
  • Publisher : Elsevier
  • Release Date : 2010-07-26
  • Genre: Business & Economics
  • Pages : 280
  • ISBN 10 : 0080471064

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Value at Risk and Bank Capital Management Book Description :

Value at Risk and Bank Capital Management offers a unique combination of concise, expert academic analysis of the latest technical VaR measures and their applications, and the practical realities of bank decision making about capital management and capital allocation. The book contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books. It discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation. The author, Francesco Saita, is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe. He provides readers with his extensive academic and theoretical expertise combined with his practical and real-world understanding of bank structure, organizational constraints, and decision-making processes. This book is recommended for graduate students in master's or Ph.D. programs in finance/banking and bankers and risk managers involved in capital allocation and portfolio management. Contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books Discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation Author is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe

Risk Management and Shareholders  Value in Banking Book
Score: 5
From 1 Ratings

Risk Management and Shareholders Value in Banking


  • Author : Andrea Sironi
  • Publisher : John Wiley & Sons
  • Release Date : 2007-04-30
  • Genre: Business & Economics
  • Pages : 808
  • ISBN 10 : 0470510730

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Risk Management and Shareholders Value in Banking Book Description :

This book presents an integrated framework for risk measurement, capital management and value creation in banks. Moving from the measurement of the risks facing a bank, it defines criteria and rules to support a corporate policy aimed at maximizing shareholders' value. Parts I - IV discuss different risk types (including interest rate, market, credit and operational risk) and how to assess the amount of capital they absorb by means of up-to-date, robust risk-measurement models. Part V surveys regulatory capital requirements: a special emphasis is given to the Basel II accord, discussing its economic foundations and managerial implications. Part VI presents models and techniques to calibrate the amount of economic capital at risk needed by the bank, to fine-tune its composition, to allocate it to risk-taking units, to estimate the "fair" return expected by shareholders, to monitor the value creation process. Risk Management and Shareholders' Value in Banking includes: * Value at Risk, Monte Carlo models, Creditrisk+, Creditmetrics and much more * formulae for risk-adjusted loan pricing and risk-adjusted performance measurement * extensive, hands-on Excel examples are provided on the companion website www.wiley.com/go/rmsv * a complete, up-to-date introduction to Basel II * focus on capital allocation, Raroc, EVA, cost of capital and other value-creation metrics

Value and Capital Management Book

Value and Capital Management


  • Author : Thomas C. Wilson
  • Publisher : John Wiley & Sons
  • Release Date : 2015-08-10
  • Genre: Business & Economics
  • Pages : 720
  • ISBN 10 : 9781118774380

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Value and Capital Management Book Description :

A value management framework designed specifically for bankingand insurance The Value Management Handbook is a comprehensive,practical reference written specifically for bank and insurancevaluation and value management. Spelling out how the finance andrisk functions add value in their respective spheres, this bookpresents a framework for measuring – and more importantly,influencing – the value of the firm from the position of theCFO and CRO. Case studies illustrating value-enhancing initiativesare designed to help Heads of Strategy offer CEOs concrete ideastoward creating more value, and discussion of "hard" and "soft"skills put CFOs and CROs in a position to better influence strategyand operations. The challenge of financial services valuation isaddressed in terms of the roles of risk and capital, andbusiness-specific "value trees" demonstrate the source ofsuccessful value enhancement initiatives. While most value management resources fail to adequately addressthe unique role of risk and capital in banks, insurance, and assetmanagement, this book fills the gap by providing concrete,business-specific information that connects management actions andvalue creation, helping readers to: Measure value accurately for more productive value-basedmanagement initiatives and evaluation of growth opportunities Apply a quantitative, risk-adjusted value management frameworkreconciled with the way financial services shares are valued by themarket Develop a value set specific to the industry to inspireinitiatives that increase the firm's value Study the quantitative and qualitative management frameworksthat move CFOs and CROs from measurement to management The roles of CFO and CRO in financial firms have changeddramatically over the past decade, requiring business savvy and theability to challenge the CEO. The Value Management Handbookprovides the expert guidance that leads CFOs and CROs toward betterinformation, better insight, and better decisions.

Understanding Market  Credit  and Operational Risk Book

Understanding Market Credit and Operational Risk


  • Author : Linda Allen
  • Publisher : John Wiley & Sons
  • Release Date : 2009-02-04
  • Genre: Business & Economics
  • Pages : 312
  • ISBN 10 : 9781405142267

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Understanding Market Credit and Operational Risk Book Description :

A step-by-step, real world guide to the use of Value at Risk (VaR) models, this text applies the VaR approach to the measurement of market risk, credit risk and operational risk. The book describes and critiques proprietary models, illustrating them with practical examples drawn from actual case studies. Explaining the logic behind the economics and statistics, this technically sophisticated yet intuitive text should be an essential resource for all readers operating in a world of risk. Applies the Value at Risk approach to market, credit, and operational risk measurement. Illustrates models with real-world case studies. Features coverage of BIS bank capital requirements.

Value at Risk  3rd Ed  Book
Score: 4.5
From 2 Ratings

Value at Risk 3rd Ed


  • Author : Philippe Jorion
  • Publisher : McGraw Hill Professional
  • Release Date : 2006-11-09
  • Genre: Business & Economics
  • Pages : 600
  • ISBN 10 : 9780071736923

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Value at Risk 3rd Ed Book Description :

Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. Featured updates include: An increased emphasis on operational risk Using VAR for integrated risk management and to measure economic capital Applications of VAR to risk budgeting in investment management Discussion of new risk-management techniques, including extreme value theory, principal components, and copulas Extensive coverage of the recently finalized Basel II capital adequacy rules for commercial banks, integrated throughout the book A major new feature of the Third Edition is the addition of short questions and exercises at the end of each chapter, making it even easier to check progress. Detailed answers are posted on the companion web site www.pjorion.com/var/. The web site contains other materials, including additional questions that course instructors can assign to their students. Jorion leaves no stone unturned, addressing the building blocks of VAR from computing and backtesting models to forecasting risk and correlations. He outlines the use of VAR to measure and control risk for trading, for investment management, and for enterprise-wide risk management. He also points out key pitfalls to watch out for in risk-management systems. The value-at-risk approach continues to improve worldwide standards for managing numerous types of risk. Now more than ever, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the curve.

Asset Management and International Capital Markets Book

Asset Management and International Capital Markets


  • Author : Wolfgang Bessler
  • Publisher : Routledge
  • Release Date : 2013-08-21
  • Genre: Business & Economics
  • Pages : 228
  • ISBN 10 : 9781317979784

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Asset Management and International Capital Markets Book Description :

This innovative volume comprises a selection of original research articles offering a broad perspective on various dimensions of asset management in an international capital market environment. The topics covered include risk management and asset pricing models for portfolio management, performance evaluation and performance measurement of equity mutual funds as well as the wide range of bond portfolio management issues. Asset Management and International Capital Markets offers interesting new insights into state-of-the-art asset pricing and asset management research with a focus on international issues. Each chapter makes a valuable contribution to current research and literature, and will be of significant importance to the practice of asset management. This book is a compilation of articles originally published in The European Journal of Finance.

Value Added Risk Management in Financial Institutions Book
Score: 5
From 1 Ratings

Value Added Risk Management in Financial Institutions


  • Author : David P. Belmont
  • Publisher : John Wiley & Sons Incorporated
  • Release Date : 2004-03-03
  • Genre: Business & Economics
  • Pages : 322
  • ISBN 10 : IND:30000094609215

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Value Added Risk Management in Financial Institutions Book Description :

The typical financial executive’s view of the value of risk management in their financial institution is based on the belief that risk management focuses on loss avoidance. This view is based on the history of risk management being control focused. However, risk management has evolved rapidly to address the more strategic issue of optimization of return on risk. This evolutions has been accompanied by statistical, mathematical and financial techniques which, when actively applied, can produce disproportionately high return on risk. Given that financial institutions will have to make significant investments in their risk management systems to comply with the regulatory capital calculation requirements of BIS II, the book shows how to leverage this investment to extract shareholder value. Key concepts illustrated and explained in detail include: Opportunity costs of capital Economic profit Risk adjusted returns on capital Economic capital measurement and their relationship to economic capital allocation Capital structuring Capital budgeting The use of risk adjusted performance information in the formulation of management strategies that seek to optimize return to shareholders are discussed in depth and illustrated by practical case studies of several leading financial institutions. Finally, practical incentive and technology challenges are addressed and pragmatic recommendations for overcoming these challenges are given. The book aims to describe these techniques, illustrate their application, and discuss their strategic value in the management of financial institutions.

Bank Valuation and Value Based Management  Deposit and Loan Pricing  Performance Evaluation  and Risk Management Book

Bank Valuation and Value Based Management Deposit and Loan Pricing Performance Evaluation and Risk Management


  • Author : Jean Dermine
  • Publisher : McGraw Hill Professional
  • Release Date : 2009-09
  • Genre: Business & Economics
  • Pages : 442
  • ISBN 10 : 9780071624992

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Bank Valuation and Value Based Management Deposit and Loan Pricing Performance Evaluation and Risk Management Book Description :

Bank Valuation & Value-Based Management provides bankers, bank regulators, auditors, and risk managers with foundational concepts and practical tools for effectively managing a bank. An expert in asset and liability management, European financial markets, and banking theory, Jean Dermine provides rigorous foundations to discuss asset and liability management at a global level, with an integrated focus on an institution’s banking book. He covers bank valuation, fund transfer pricing, deposit and loan pricing, risk management, and performance measurement, and addresses two high-profile issues for banks worldwide: portfolio credit risk and liquidity risk. This thorough and innovative guide presents insightful coverage on the hazards of measuring portfolio credit risk, the impact of liquidity risk on fund transfer pricing, and the practice of performance measurement in the banking industry. Numerous real-world examples from the U.S. subprime crisis help illustrate the nature and dynamics of these issues. Inside, you will find a framework for discussing such managerial issues as: Bank valuation Fund transfer pricing Deposit pricing Capital management Loan pricing and provisioning Securitization Measurement of interest rate risk Performance measurement At the same time that it helps readers develop an intuitive sense for asset-liability management, this practical book follows through with rigorous mathematical formulas and examples from the international banking community. In addition,exercises are incorporated throughout the text to facilitate discussions of how theoretical concepts can be applied to real-world problems. This authoritative guide to bank management also features an exclusive companion Web site, www.mhprofessional.com/bankvaluation, which includes additional chapters and exercise solutions that serve as key supplements to the core text. Creating value in banking depends on a rocksolid understanding of what drives value and the right valuation model to he

Risk Management  Strategic Thinking and Leadership in the Financial Services Industry Book

Risk Management Strategic Thinking and Leadership in the Financial Services Industry


  • Author : Hasan Dinçer
  • Publisher : Springer
  • Release Date : 2016-12-19
  • Genre: Business & Economics
  • Pages : 386
  • ISBN 10 : 9783319471723

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Risk Management Strategic Thinking and Leadership in the Financial Services Industry Book Description :

This book presents a broad overview of risk management in the banking industry, with a special focus on strategic thinking and decision-making. It reveals the broader context behind decision models and approaches to risk management in the financial industry, linking the regulatory landscape for capital management and risk to strategic thinking, together with behavioral and cultural assessments.

Measuring Market Risk with Value at Risk Book

Measuring Market Risk with Value at Risk


  • Author : Pietro Penza
  • Publisher : John Wiley & Sons
  • Release Date : 2001
  • Genre: Business & Economics
  • Pages : 302
  • ISBN 10 : 0471393134

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Measuring Market Risk with Value at Risk Book Description :

"This book, Measuring Market Risk with Value at Risk by Vipul Bansal and Pietro Penza, has three advantages over earlier works on the subject. First, it takes a decidedly global approach-an essential ingredient for any comprehensive work on market risk. Second, it ties the scientifically grounded, yet intuitively appealing, VaR measure to earlier, more idiosyncratic measures of market risk that are used in specific market environs (e.g., duration in fixed income). Finally, it encompasses all of the accepted approaches to calculating a VaR measure and presents them in a clearly explained fashion with supporting illustrations and completely worked-out examples." -from the Foreword by John F. Marshall, PhD, Principal, Marshall, Tucker & Associates, LLC "Measuring Market Risk with Value at Risk offers a much-needed intellectual bridge, a translation from the esoteric realm of mathematical finance to the domain of financial managers who seek guidance in applying developments from this important field of research as well as that of MBA-level graduate instruction. I believe the authors have done a commendable job of providing a carefully crafted, highly readable, and most useful work, and intend to recommend it to all those involved in business risk management applications." -Anthony F. Herbst, PhD, Professor of Finance and C.R. and D.S. Carter Chair, The University of Texas, El Paso and Founding editor of The Journal of Financial Engineering (1991-1998) "Finally there's a book that strikes a balance between rigor and application in the area of risk management in the banking industry. This innovative book is a MUST for both novices and professionals alike." -Robert P. Yuyuenyongwatana, PhD, Associate Professor of Finance, Cameron University "Measuring Market Risk with Value at Risk is one of the most complete discussions of this emerging topic in finance that I have seen. The authors develop a logical and rigorous framework for using VaR models, providing both historical r

Bank and Insurance Capital Management Book

Bank and Insurance Capital Management


  • Author : Frans de Weert
  • Publisher : John Wiley & Sons
  • Release Date : 2011-10-14
  • Genre: Business & Economics
  • Pages : 352
  • ISBN 10 : 9780470971642

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Bank and Insurance Capital Management Book Description :

In the aftermath of the financial crisis, capital management has become a critical factor in value creation for banks and other financial institutions. Although complex and subject to regulatory change, the strategic importance of capital management became apparent during the crisis and has moved the subject to the top of corporate agendas. Bank and Insurance Capital Management is an essential guide to help banks and insurance companies understand and manage their capital position. Bridging the gap between theory and practice, it provides proven techniques for managing bank capital, as well as explaining key capital management perspectives, including accounting, regulatory, risk and capital management and corporate finance. It also shows how to analyze a firm's stakeholders such as depositors, policy holders, debt holders and shareholders, and manage their expectations, and how to align risk and capital management so as to best optimize the return on capital and preserve capital in periods of stress. Economic capital is also discussed in depth, as are the practicalities of bank and insurance M&A, and the book also shows how financial innovations can be used to optimise the capital position and how diversification effects are reflected in the capital position. This book will arm readers with the knowledge and skills needed to understand how capital management can improve capital structure and performance, achieving an optimal cost of, and return on capital, creating value as a result.

Mastering Value at Risk Book

Mastering Value at Risk


  • Author : Cormac Butler
  • Publisher : Financial Times/Prentice Hall
  • Release Date : 1999
  • Genre: Business & Economics
  • Pages : 241
  • ISBN 10 : 0273637525

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Mastering Value at Risk Book Description :

Value at Risk (VAR) is rapidly emerging as the dominant methodology for estimating precisely how much money is at risk each day in the financial markets. This book provides an objective view of VAR, analyzing its pitfalls and benefits.

Market Risk Analysis  Value at Risk Models Book
Score: 5
From 1 Ratings

Market Risk Analysis Value at Risk Models


  • Author : Carol Alexander
  • Publisher : John Wiley & Sons
  • Release Date : 2009-01-15
  • Genre: Business & Economics
  • Pages : 492
  • ISBN 10 : 9780470745076

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Market Risk Analysis Value at Risk Models Book Description :

Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL); New formulae for VaR based on autocorrelated returns; Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR; Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas; Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios; Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components; Backtesting and the assessment of risk model risk; Hypothetical factor push and historical stress tests, an

Risk Management in Banking Book

Risk Management in Banking


  • Author : Joël Bessis
  • Publisher : John Wiley & Sons
  • Release Date : 2015-04-30
  • Genre: Business & Economics
  • Pages : 376
  • ISBN 10 : 9781118660188

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Risk Management in Banking Book Description :

The seminal guide to risk management, streamlined andupdated Risk Management in Banking is a comprehensive referencefor the risk management industry, covering all aspects of thefield. Now in its fourth edition, this useful guide has beenupdated with the latest information on ALM, Basel 3, derivatives,liquidity analysis, market risk, structured products, credit risk,securitizations, and more. The new companion website featuresslides, worked examples, a solutions manual, and the newstreamlined, modular approach allows readers to easily find theinformation they need. Coverage includes asset liabilitymanagement, risk-based capital, value at risk, loan portfoliomanagement, capital allocation, and other vital topics, concludingwith an examination of the financial crisis through the utilisationof new views such as behavioural finance and nonlinearity ofrisk. Considered a seminal industry reference since the firstedition's release, Risk Management in Banking has beenstreamlined for easy navigation and updated to reflect the changesin the field, while remaining comprehensive and detailed inapproach and coverage. Students and professionals alike willappreciate the extended scope and expert guidance as they: Find all "need-to-know" risk management topics in a singletext Discover the latest research and the new practices Understand all aspects of risk management and bankingmanagement See the recent crises – and the lessons learned –from a new perspective Risk management is becoming increasingly vital to the bankingindustry even as it grows more complex. New developments andadvancing technology continue to push the field forward, andprofessionals need to stay up-to-date with in-depth information onthe latest practices. Risk Management in Banking provides acomprehensive reference to the most current state of the industry,with complete information and expert guidance.

Bank Asset and Liability Management Book

Bank Asset and Liability Management


  • Author : Moorad Choudhry
  • Publisher : John Wiley & Sons
  • Release Date : 2011-12-27
  • Genre: Business & Economics
  • Pages : 256
  • ISBN 10 : 9781118177211

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Bank Asset and Liability Management Book Description :

Banks are a vital part of the global economy, and the essence of banking is asset-liability management (ALM). This book is a comprehensive treatment of an important financial market discipline. A reference text for all those involved in banking and the debt capital markets, it describes the techniques, products and art of ALM. Subjects covered include bank capital, money market trading, risk management, regulatory capital and yield curve analysis. Highlights of the book include detailed coverage of: Liquidity, gap and funding risk management Hedging using interest-rate derivatives and credit derivatives Impact of Basel II Securitisation and balance sheet management Structured finance products including asset-backed commercial paper, mortgage-backed securities, collateralised debt obligations and structured investment vehicles, and their role in ALM Treasury operations and group transfer pricing. Concepts and techniques are illustrated with case studies and worked examples. Written in accessible style, this book is essential reading for market practitioners, bank regulators, and graduate students in banking and finance. Companion website features online access to software on applications described in the book, including a yield curve model, cubic spline spreadsheet calculator and CDO waterfall model.

Risk Management and Value Creation in Financial Institutions Book
Score: 4.5
From 2 Ratings

Risk Management and Value Creation in Financial Institutions


  • Author : Gerhard Schroeck
  • Publisher : John Wiley & Sons
  • Release Date : 2002-10-01
  • Genre: Business & Economics
  • Pages : 332
  • ISBN 10 : 9780471429746

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Risk Management and Value Creation in Financial Institutions Book Description :

An analysis of the links between risk management and value creation Risk Management and Value Creation in Financial Institutions explores a variety of methods that can be utilized to create economic value at financial institutions. This invaluable resource shows how banks can use risk management to create value for shareholders, addresses the advantages of risk-adjusted return on capital (RAROC) measures, and develops the foundations for a model to identify comparative advantages that emerge as a result of risk-management decisions. It is the only book needed for banking executives interested in the relationship between risk management and value creation.

Bubble Value at Risk Book

Bubble Value at Risk


  • Author : Max C. Y. Wong
  • Publisher : John Wiley & Sons
  • Release Date : 2013-01-30
  • Genre: Business & Economics
  • Pages : 400
  • ISBN 10 : 9781118550373

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Bubble Value at Risk Book Description :

Introduces a powerful new approach to financial risk modelingwith proven strategies for its real-world applications The 2008 credit crisis did much to debunk the much touted powersof Value at Risk (VaR) as a risk metric. Unlike most authors on VaRwho focus on what it can do, in this book the author looks at whatit cannot. In clear, accessible prose, finance practitioners, MaxWong, describes the VaR measure and what it was meant to do, thenexplores its various failures in the real world of crisis riskmanagement. More importantly, he lays out a revolutionary newmethod of measuring risks, Bubble Value at Risk, that iscountercyclical and offers a well-tested buffer against marketcrashes. Describes Bubble VaR, a more macro-prudential risk measureproven to avoid the limitations of VaR and by providing a moreaccurate risk exposure estimation over market cycles Makes a strong case that analysts and risk managers need tounlearn our existing "science" of risk measurement and discovermore robust approaches to calculating risk capital Illustrates every key concept or formula with an abundance ofpractical, numerical examples, most of them provided in interactiveExcel spreadsheets Features numerous real-world applications, throughout, based onthe author’s firsthand experience as a veteran financial riskanalyst

Financial Risk Management Book

Financial Risk Management


  • Author : Jimmy Skoglund
  • Publisher : John Wiley & Sons
  • Release Date : 2015-09-08
  • Genre: Business & Economics
  • Pages : 576
  • ISBN 10 : 9781119157243

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Financial Risk Management Book Description :

A global banking risk management guide geared toward the practitioner Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the growing importance of model risk management. Market risk, portfolio credit risk, counterparty credit risk, liquidity risk, profitability analysis, stress testing, and others are dissected and examined, arming you with the strategies you need to construct a robust risk management system. The book takes readers through a journey from basic market risk analysis to major recent advances in all financial risk disciplines seen in the banking industry. The quantitative methodologies are developed with ample business case discussions and examples illustrating how they are used in practice. Chapters devoted to firmwide risk and stress testing cross reference the different methodologies developed for the specific risk areas and explain how they work together at firmwide level. Since risk regulations have driven a lot of the recent practices, the book also relates to the current global regulations in the financial risk areas. Risk management is one of the fastest growing segments of the banking industry, fueled by banks' fundamental intermediary role in the global economy and the industry's profit-driven increase in risk-seeking behavior. This book is the product of the authors' experience in developing and implementing risk analytics in banks around the globe, giving you a comprehensive, quantitative-oriented risk management guide spe

Risk Budgeting Book

Risk Budgeting


  • Author : Neil D. Pearson
  • Publisher : John Wiley & Sons
  • Release Date : 2011-08-31
  • Genre: Business & Economics
  • Pages : 336
  • ISBN 10 : 9781118160831

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Risk Budgeting Book Description :

Covers the hottest topic in investment for multitrillion pension market and institutional investors Institutional investors and fund managers understand they must take risks to generate superior investment returns, but the question is how much. Enter the concept of risk budgeting, using quantitative risks measurements, including VaR, to solve the problem. VaR, or value at risk, is a concept first introduced by bank dealers to establish parameters for their market short-term risk exposure. This book introduces VaR, extreme VaR, and stress-testing risk measurement techniques to major institutional investors, and shows them how they can implement formal risk budgeting to more efficiently manage their investment portfolios. Risk Budgeting is the most sophisticated and advanced read on the subject out there in the market.