Riccardo Rebonato

Portfolio Management under Stress

Buch

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 ins… Mehr

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Produktdetails

Weitere Autoren: Denev, Alexander

ISBN: 978-1-107-04811-9
EAN: 9781107048119
Produktnummer: 15443097
Verlag: Cambridge University Press
Sprache: Englisch
Erscheinungsjahr: 2016
Seitenangabe: 518 S.
Masse: H25.0 cm x B17.5 cm x D3.2 cm 1'066 g
Abbildungen: HC gerader Rücken kaschiert
Gewicht: 1066

Über den Autor

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).