This chapter explores the risk budgeting process for an institutional investment fund. The reading assumes that the fund has a set strategic benchmark and must either develop or adjust its active manager roster. Four aspects of the risk budgeting process are then explored. First, methods for analyzing ... click here for more details.

This chapter provides a good introduction to risk budgeting and the use of value-at-risk for a pension fund, particularly establishing the difference from classic investment risk practices including asset allocation and investment guidelines. The chapter discusses how risk budgeting and value-at-risk can be used to improve the investment process, ... click here for more details.

This chapter outlines an approach to managing portfolio risk by budgeting tracking error and defining a tracking error policy. The suggested policy defines zones (green, yellow and red zones) for the tracking error of individual managers relative to a defined benchmark portfolio which guide the investment manager in monitoring ... click here for more details.

This chapter provides useful and pragmatic insight into the implementation of a risk management system at a large pension fund. The Ontario Teachers` Pension Plan Board implemented a VaR system in 1995, and this article highlights the practical issues of such an implementation and the resulting improvements. Practical ... click here for more details.