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Value-at-Risk (VaR): Impact on Asset Allocation Decision and Portfolio Performance - Couverture souple

Ado, Aminu

 
9783838381800: Value-at-Risk (VaR): Impact on Asset Allocation Decision and Portfolio Performance
Couverture souple
ISBN 10 : 3838381807 ISBN 13 : 9783838381800
Editeur : LAP LAMBERT Academic Publishing, 2010

Synopsis

Contemporarily, the sophistication of financial markets coupled with possibilities of high volatilities, thinning of margin and shareholder value erosion have necessitated the search for a model that could have predictive powers which fund managers would leverage on to help with risk management phenomenon. Value-at-Risk (VaR) has recently become popular as an alternative risk measure especially with the traditional beta (?) measure of market risk coming under heavy critism due to the heightened concern expressed by financial experts as to whether it actually captures and appropriately price the risk of the market. VaR has been defined as a summary measure that indicates the worst loss that could occur to a portfolio or a single asset over a target horizon with a given level of confidence. The research took a cursory look at the empirical relationship that exists between this rapidly evolving measure of risk and its influence on the everyday asset allocation decisions that fund managers are involved with and to discover how this links with portfolio performance at various allocation mixes. To simplify the approach, only two classes of assets were considered; equity and cash.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

Contemporarily, the sophistication of financial markets coupled with possibilities of high volatilities, thinning of margin and shareholder value erosion have necessitated the search for a model that could have predictive powers which fund managers would leverage on to help with risk management phenomenon. Value-at-Risk (VaR) has recently become popular as an alternative risk measure especially with the traditional beta (?) measure of market risk coming under heavy critism due to the heightened concern expressed by financial experts as to whether it actually captures and appropriately price the risk of the market. VaR has been defined as a summary measure that indicates the worst loss that could occur to a portfolio or a single asset over a target horizon with a given level of confidence. The research took a cursory look at the empirical relationship that exists between this rapidly evolving measure of risk and its influence on the everyday asset allocation decisions that fund managers are involved with and to discover how this links with portfolio performance at various allocation mixes. To simplify the approach, only two classes of assets were considered; equity and cash.

Biographie de l'auteur

B.Sc. (2.1), MBA, M.Sc: Studied Financial Management at the Robert Gordon University (RGU), Aberdeen, UK. Started his career in banking with FSB Int'l Bank Plc (Nig.), later worked with Accenture UK before moving to Baker Hughes UK as an Accountant. Currently with Tita-Kuru Petrochemicals Ltd as Manager, Accounts and Admin. He is married with a kid.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2010
Langue
anglais
ISBN 10 
3838381807
ISBN 13 
9783838381800
Reliure
Broché
Nombre de pages
88
Coordonnées du fabricant
non disponible
Personne responsable
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