Risk Budgeting: A New Approach to Investing

Douglas Long, Principia Partners
Rahl's done an excellent job in providing a collection of articles that clearly bring together the concepts surrounding risk budgeting.

Paul Barr, Reporter, Hedge World
Offers solid perspectives on managing risk, while advanced practitioners can use it as a reference when structuring their VAR programs.

Book Description
A practical and authoritative introduction to the concept of risk unit allocation as an alternative and more effective decision-making process for long-term investors. *Make an informed decision about how to implement and execute a "risk unit allocation" investment policy *Analysis of techniques to assess how risk might impact long-term investment returns *Introduces methods to allocate assets based on the "risk unit" exposures - in individual asset classes and on a portfolio basis, to meet long-term pension obligations and investment return objectives *Investigates ways to use VAR to accommodate a long-term investment horizon *Contributions from leading experts drawn from consultancies; large institutional investors; pension plans; investment banks and academia

About the Author
Leslie Rahl is president of Capital Market Risk Advisors, Inc, a risk management consultancy firm. Prior to founding her consultancy firm in 1991, Leslie spent 19 years at Citibank, nine of which were as head of Citibank's Derivatives Group in North America. Ms Rahl was named among the "Top 50 Women in Finance" by Euromoney in 1997 and was profiled in both the fifth and 10th anniversary issues of Risk magazine. She has been published numerous times. She was a director of the International Swaps and Derivatives Association (ISDA) for 5 years and is currently a member of the Board of the International Association of Financial Engineers and the Fischer Black Memorial Foundation and a member of the Board of Advisors for the financial engineering programme at the Sloan School. Ms Rahl received her undergraduate degree in computer science from the Massachusetts Institute of Technology and her MBA from the Sloan School of Management.


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A practical and authoritative introduction to the concept of risk budgeting as an alternative and more effective decision-making process for long-term investors. Make more informed decisions about how to implement and execute a "risk budgeting" investment policy. Introduces methods to allocate assets based on "risk unit" exposures-in individual asset classes and on a portfolio basis, to meet long term pension obligations and investment return objectives. Contributions from leading experts drawn from consultancies: large institutional investors; pension plans; investment banks and academia.


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