This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We subsequently apply these ideas to an asset management...

"This book is a comprehensive and authoritative presentation of ALM techniques and issues. It covers modeling and practical aspects of ALM and greatly benefits for the author's experience within the ALM group of BNP-Paribas. I think anyone from the student involved in a risk management degree to...