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- DescriptionPortfolio Management under Stress offers a vel 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.
- Author BiographyRiccardo 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, Societe Generale and the National Bank of Greece.
- Author(s)Alexander Denev,Riccardo Rebonato
- PublisherCambridge University Press
- Date of Publication09/01/2014
- SubjectBusiness, Accounting & Vocational: Textbooks & Study Guides
- Place of PublicationCambridge
- Country of PublicationUnited Kingdom
- ImprintCambridge University Press
- Content Note119 b/w illus.
- Weight1070 g
- Width174 mm
- Height247 mm
- Spine32 mm
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