CMRA Books

Risk Budgeting, Second Edition:

Risk Appetite and Governance in the Wake of the Financial Crisis

Risk Budgeting edition 2 book

Edited by Leslie Rahl, Capital Market Risk Advisors

This fully updated and revised second edition of the best-selling guide Risk Budgeting expands upon the first edition, continuing to provide a road map for more effective risk allocation and better return per unit of risk taken. This edition reflects in particular the growing focus on risk appetite and governance in the risk budgeting environment.

See full book description

Order Now - to receive a 10% discount, enter the Promotional Code Budgeting10 before proceeding to checkout.

Hedge Fund Transparency:

Unravelling the Complex and Controversial Debate

Hedge Fund Transparency book

By Leslie Rahl, Capital Market Risk Advisors

The only title that focuses solely on hedge fund transparency and offers a balanced perspective that appreciates both the needs of institutional investors and hedge fund managers.

  • Presents clear insight on why hedge fund transparency is an issue, as well as offers solutions
  • Includes "perspectives" based on interviews with numerous eminent practitioners from both sides of the investor/hedge fund debate
  • Service providers including consultants, prime brokers, third party marketers, capital introducers, systems providers, lawyers and accountants, will additionally acquire an enhanced insight into the needs of both investors and hedge funds in order to tailor their services to the market needs
  • The press and the regulators can also achieve enhanced understanding of this complex and controversial subject
  • Written by the best-selling author and practitioner Leslie Rahl, who is the chair of the Investor Risk Committee of the IAFE Committee on Hedge Fund Transparency and is uniquely placed to advise on and explain the issues for all concerned participants

Risk Budgeting - A New Approach to Investing

Published by Risk Books, November 2000
Risk Budgeting book

Edited by Leslie Rahl, Capital Market Risk Advisors

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

Leslie Rahl has donated her proceeds from the sale of the book
to the Fischer Black Memorial Foundation.


Risk Management

The State of the Art

Risk Management book

Edited by Stephen Figlewski and Richard M. Levich

The articles in this volume examine the "State of the Art" in risk management from the standpoint of academic researchers, market analysts and practitioners, and government observers with

Risk Management: Where Are We Heading? Where Have We Been?

contributed by Leslie Rahl.


Value at Risk

Value at Risk book

"This book has become an industry standard for value at risk."
Leslie Rahl, president, CMRA

To accommodate sweeping global economic changes, the risk management field has evolved substantially since the first edition of Value at Risk, making this revised edition a must. Updates include a new chapter on liquidity risk, information on the latest risk instruments and the expanded derivatives market, recent developments in Monte Carlo methods, and more. Value at Risk, Second Edition, will help professional risk managers understand, and operate within, today's dynamic new risk environment.