Jorion, Value at Risk: Portfolio Risk: VaR and Risk Budgeting is a 51-minute instructional video analyzing the following concepts:
* Define risk budgeting.
* Describe the impact of horizon, turnover and leverage on the risk management process in the investment management industry.
* Describe the investment process of large investors such as pension funds.
* Describe the risk management challenges associated with investments in hedge funds.
* Distinguish among the following types of risk: absolute risk, relative risk, policy-mix risk, active management risk, funding risk and sponsor risk
* Apply VaR to check compliance, monitor risk budgets and reverse engineer sources of risk.
* Explain how VAR can be used in the investment process and the development of investment guidelines.
* Describe the risk budgeting process across asset classes and active managers.