Portfolio Management under Stress: A Bayesian-Net Approach to Coherent Asset Allocation

Rebonato, Riccardo; Denev, Alexander

ISBN 10: 1107048117 / ISBN 13: 9781107048119

Editore: Cambridge University Press, 2014

Hardback book in nearly new condition: firm and square with strong joints. Just a few hardly noticeable rubs or very mild bumps. Hence a non-text page shows a small 'damaged' stamp. Despite such this book looks and feels unread. Thus the contents are crisp, fresh and tight. And so a very nice book in great condition, now offered for sale at a reasonable price. Codice articolo 204879

Riassunto:

A rigorous presentation of a novel methodology for asset allocation in financial portfolios under conditions of market distress.

Informazioni sugli autori: 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).

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, Société Générale and the National Bank of Greece.

Dati bibliografici

Titolo: Portfolio Management under Stress: A ...
Casa editrice: Cambridge University Press
Data di pubblicazione: 2014
Legatura: Hardcover
Condizione: Like New
Edizione: First Edition.