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Riccardo Rebonato, Alexander Denev - Portfolio Management under Stress, Inbunden

Inbunden, Engelska, 2014

Portfolio Management under Stress

A Bayesian-Net Approach to Coherent Asset Allocation

Av Riccardo Rebonato, Alexander Denev

1190 kr

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Beskrivning
Portfolio Management under Stress offers a novel way to apply the well-established Bayesian-net methodology to the important problem of asset allocation under conditions of market distress or, more generally, when an investor believes that a particular scenario (such as the break-up of the Euro) may occur. Employing a coherent and thorough approach, it provides practical guidance on how best to choose an optimal and stable asset allocation in the presence of user specified scenarios or 'stress conditions'. The authors place causal explanations, rather than association-based measures such as correlations, at the core of their argument, and insights from the theory of choice under ambiguity aversion are invoked to obtain stable allocations results. Step-by-step design guidelines are included to allow readers to grasp the full implementation of the approach, and case studies provide clarification. This insightful book is a key resource for practitioners and research academics in the post-financial crisis world.
Produktinformation
  • Utgivningsdatum: 2014-01-09
  • Mått: 170 x 244 x 29 mm
  • Vikt: 1 070 g
  • Format: Inbunden
  • Språk: Engelska
  • Antal sidor: 518
  • Förlag: Cambridge University Press
  • ISBN: 9781107048119
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Mer om författaren

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.

Recensioner i media

'Rebonato and Denev have demolished the status quo with their radical extension of best-practice portfolio management. The key is to integrate realistic 'extreme' scenarios into risk assessment, and they show how to use Bayesian networks to characterize precisely those scenarios. The book is rigorous yet completely practical, and reading it is a pleasure, with the 'Rebonato touch' evident throughout.' Francis X. Diebold, Paul F. and Warren S. Miller Professor of Economics, and Professor of Finance and Statistics, University of Pennsylvania

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