Risk Budgeting: Portfolio Problem Solving with Value-at-Risk

Neil D. Pearson

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Financial Risk and Volatility Modeling Risk Management in Financial Firms Risk and Portfolio Optimization

Abstract

PART ONE: INTRODUCTION What are Value-at-Risk and Risk Budgeting? Value-at-Risk of a Simple Equity Portfolio PART TWO: TECHNIQUES OF VALUE-AT-RISK AND STRESS TESTING The Delta-Normal Method Historical Simulation The Delta-Normal Method for a Fixed Income Portfolio Monte Carlo Simulation Using Factor Models to Compute the VaR of Equity Portfolios Using Principal Components to Compute the VaR of Fixed-Income Portfolios Stress Testing PART THREE: RISK DECOMPOSITION AND RISK BUDGETING Decomposing Risk A Long-Short Hedge Fund Manager Aggregating and Decomposing the Risks of Large Portfolios Risk Budgeting and the Choice of Active Managers PART FOUR: REFINEMENTS OF THE BASIC METHODS Delta-Gamma Approaches Variants of the Monte Carlo Approach Extreme Value Theory and VaR PAART FIVE: LIMITATIONS OF VALUE-AT-RISK VaR Is Only an Estimate Gaming the VaR Coherent Risk Measures PART SIX: CONCLUSION A Few Issues in Risk Budgeting References Index

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