Risk Budgeting: Portfolio Problem Solving with Value-at-Risk Book

INTRODUCTION.
What are Value-at-Risk and Risk Budgeting?
A Simple Equity Portfolio.
TECHNIQUES OF VALUE-AT-RISK AND STRESS TESTING.
The Delta-Normal Method.
Historical Simulation.
The Delta-Normal Method for a Fixed Income Portfolio.
Monte Carlo Simulation.
Using Factor Models to Compute the Value-at-Risk of Equity Portfolios.
Using Principal Components to Compute the Value-at-Risk of Fixed Income Portfolios.
Stress Testing.
RISK DECOMPOSITION AND RISK BUDGETING.
Decomposing Risk.
A "Long-Short" Hedge Fund Manager.
Aggregating and Decomposing the Risks of Large Portfolios.
Risk Budgeting and the Choice of Active Managers.
REFINEMENTS OF THE BASIC METHODS.
Delta-Gamma Approaches.
Variants of the Monte Carlo Approach.
Extreme Value Theory and VaR.
LIMITATIONS OF VALUE-AT-RISK.
VaR Is Only an Estimate.
Gaming the VaR.
Coherent Risk Measures.
CONCLUSION.
A Few Issues in Risk Budgeting.
References.