Title：Risk Budgeting: Portfolio Problem Solving with Value-at-Risk
     Author：Neil D. Pearson
     Edition：1 edition (January 18, 2002)
     Format：High Quality pdf Non-scanned Version
     Pages：321 pages
     Publisher：Wiley
     Reference：http://www.amazon.com/gp/reader/0471405566/ref=sib_dp_pt/105-0534350-4110008#reader-link
     Note: Suitable for those preparing for Financial Risk Manager (FRM) exam

ix
PART ONE
Introduction
CHAPTER 1
What Are Value-at-Risk and Risk Budgeting? 3
CHAPTER 2
Value-at-Risk of a Simple Equity Portfolio 13
PART TWO
Techniques of Value-at-Risk and Stress Testing
CHAPTER 3
The Delta-Normal Method 33
CHAPTER 4
Historical Simulation 55
CHAPTER 5
The Delta-Normal Method for a Fixed-Income Portfolio 75
CHAPTER 6
Monte Carlo Simulation 91
CHAPTER 7
Using Factor Models to Compute the VaR of Equity Portfolios 105
CHAPTER 8
Using Principal Components to Compute the VaR
of Fixed-Income Portfolios 115
CHAPTER 9
Stress Testing 135
PART THREE
Risk Decomposition and Risk Budgeting
CHAPTER 10
Decomposing Risk 153
 

CHAPTER 11
A Long-Short Hedge Fund Manager 163
CHAPTER 12
Aggregating and Decomposing the Risks of Large Portfolios 183
CHAPTER 13
Risk Budgeting and the Choice of Active Managers 205
PART FOUR
Refinements of the Basic Methods
CHAPTER 14
Delta-Gamma Approaches 223
CHAPTER 15
Variants of the Monte Carlo Approach 233
CHAPTER 16
Extreme Value Theory and VaR 245
PART FIVE
Limitations of Value-at-Risk
CHAPTER 17
VaR Is Only an Estimate 263
CHAPTER 18
Gaming the VaR 275
CHAPTER 19
Coherent Risk Measures 287
PART SIX
Conclusion
CHAPTER 20
A Few Issues in Risk Budgeting 297
References 303
Index 315