Risk Budgeting: Risk Appetite and Governance in the Wake of the Financial Crisis

Edited by Rahl, Leslie

The second edition of Risk Budgeting expands upon its original themes to encompass risk appetite and risk governance, the importance and visibility of which have increased exponentially in the wake of the financial crisis. While risk budgeting was just emerging as a best practice for pension funds and asset managers when the first edition was published in 2000, there have been many developments since, the prime example being the 2007/8 financial crisis, which cast a shadow over the quantitative techniques and tools used to mitigate and budget for risk up until that point. As Leslie Rahl herself says in the book's "Introduction", the years subsequent to the crisis (which also saw the collapse of Bear Stearns, the bankruptcy of Lehman Brothers, and the federal takeover of Fannie Mae) fundamentally changed the landscape of risk management to such a degree that the original methods of approaching risk have become obsolete. This altered financial environment has made the industry much more conscious of the need to embed risk allocation into their traditional strategic planning processes. New regulations such as Basel III were introduced, representing a new approach to risk (particularly attitudes towards VaR and liquidity measures). A new examination of the topics discussed in the first edition of Risk Budgeting is clearly due. Risk Budgeting, the second edition, is a fully updated accessible guide which includes new chapters such as: Risk Budgeting in the Evolution of Insurance Company Risk Management Holistic Risk Budgeting Value-at-Risk: a dissenting opinion Risk Appetite Statements and Risk Governance This timely second edition is necessary reading for all practitioners, from CEOs, CROs and CIOs to portfolio managers, regulators and risk professionals across a variety of industries such as pension funds, hedge funds, insurance companies and banks.

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[目次]

  • Introduction by Leslie Rahl and Peter Niculescu Chapter 1 Risk Governance and Risk Appetite Statements Leslie Rahl and Peter Niculescu Chapter 2 Value-at-Risk: a dissenting opinion Stephen Rahl Chapter 3 Holistic Risk Budgeting Richard Horwitz Chapter 4 Theory of Risk Budgeting Richard Horwitz, Erin Simpson and Terry Smith Chapter 5 Risk Budgeting for Active Investment Managers. The Green Zone: Assessing the Quality of Returns Robert Litterman, Jacques Longerstaey, Jacob Rosengarten and Kurt Winklemann Chapter 6 Pension Funds and Incentive Compensation: A Story Based on the Ontario Teachers' Experience Barbara Zvan Chapter 7 Risk Budgeting for Banks Leslie Rahl and Nick Le Pan Chapter 8 Risk Budgeting in the Evolution of Insurance Company Risk Management David Tyson Chapter 9 Hedge Fund Risk Budgeting Richard Horwitz Chapter 10 Private Equity Risk Budgeting Richard Horwitz

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この本の情報

書名 Risk Budgeting: Risk Appetite and Governance in the Wake of the Financial Crisis
著作者等 Rahl, Leslie
出版元 Risk Books
刊行年月 2012.09.18
版表示 2 Rev ed
ページ数 250p
大きさ H235 x W155
ISBN 9781906348885
言語 英語
出版国 イギリス
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