Customer Reviews

Risk Budgeting: Portfolio Problem Solving with Value-at-Risk (Wiley Finance)

5 star:		(2)
4 star:		(1)
3 star:		(0)
2 star:		(1)
1 star:		(0)

 

 

This is a book on VaR masquerading as a book on Risk Budgeting. I would guess that the publisher changed the name of the book.

There are about fourty pages of three hundred that actually deal with risk budgeting: the first 153 pages are an outline of VaR. Its a fair introduction to VaR, but the title is misleading.

A very well written book on Risk Budgeting from a modern perspective. VAR methodologies, stress testing and working examples are very well written and a must for anyone wanting to either get into the risk measurement/ management field or an advanced practitioner in the field. I would highly recommend this book for someone wanting to get the both the theoritical and hands on practical approach to risk measurement of equity and fixed income portfolios.

If you like to roll up your sleeves and crunch the numbers, this is your book. If you like to sharpen your pencil and grind through portfolio theory algebra, this is your book as well. Excellent read.

Prof. Pearson has done an excellent job describing VaR and how downside risk fits into the portfolio selection process. His book is the only book on VaR that I am aware of to provide a rigorous treatment of methods for encorporating non-normality of returns into the VaR estimate (by means of the Cornish-Fisher approximation or other approaches), surpassing even Jorion's "Value-at-Risk" in this regard. The treatment of Risk Busdgeting starts with a reasonable definition, but then drops to short references throughout the book and a brief treatment at the end about including VaR measures in a risk budgeting portfolio management approach. I would also liked to have seen the code used to create the examples published with the book, even though this is not a book on implementation.