Risk Budgeting

Content

• 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