Iceberg Risk
an adventure in portfolio theory
- ISBN: 9781587990687
- Editorial: Texere Publishing Limited
- Fecha de la edición: 2002
- Lugar de la edición: New York. None
- Encuadernación: Cartoné
- Medidas: 23 cm
- Nº Pág.: 383
- Idiomas: Inglés
For all financial institutions, calculating day-to-day risk exposure is critical. The classic approach to minimizing the risk of catastrophe hitting a portfolio is to invest in a broad spectrum of assets. If one asset drops in value, another is likely to rise. But in today's complex financial world this method is looking increasingly fragile - if it really is the optimal approach there would surely be far fewer financial failures. In this new reality, how can risk managers successfully manage their business? This title introduces a fresh approach to managing risk in investment portfolios. Up to now analysis has been focused on estimating the potential risks of individuals assets - but far less on the implications for the overall risk of a portfolio. The most common method - value-at- risk - justifies decisions, rather than analyzing the risk an institution should bear. In times of crisis, VAR has often failed, and can be fatal if it is not realized that even a small degree of dependence between seemingly unrelated assets can pose a threat to the overall portfolio. Hidden "excess risk" is called iceberg risk by the author who explains how to identify and manage it