Office of Academic Resources
Chulalongkorn University
Chulalongkorn University

Home / Help

AuthorPearson, Neil D
TitleRisk budgeting : portfolio problem solving with Value-at-risk / Neil D. Pearson
Imprint New York : J. Wiley, 2002
Descript x, 321 p. : ill. ; 24 cm

CONTENT

Value-at-risk of a simple equity portfolio -- The delta-normal method -- The delta-normal method foe a fixed-income portfolio -- Using factor models to compute theVaR or equity portfolios -- Risk decomposition and risk budgeting -- Decomposing risk -- Variants of the Monte Carlo approach -- Limitations of value-at-risk -- Gaming the VaR


Investment analysis Portfolio management Risk management Financial futures

LOCATIONCALL#STATUS
Chula Business School Library332.6221 P362R 2002CHECK SHELVES

Chulalinet's Book Delivery Request




Location



Office of Academic Resources, Chulalongkorn University, Phayathai Rd. Pathumwan Bangkok 10330 Thailand

Contact Us

Tel. 0-2218-2929,
0-2218-2927 (Library Service)
0-2218-2903 (Administrative Division)
Fax. 0-2215-3617, 0-2218-2907

Social Network

  line

facebook   instragram