Taking due account of extreme events when constructing portfolios of assets or liabilities is a key discipline for market professionals. Extreme events are a fact of life in how markets operate.In Extreme Events: Robust Portfolio Construction in the Presence of Fat Tails, leading expert Malcolm Kemp shows readers how to analyse market data to uncover fat-tailed behaviour, how to incorporate expert judgement in the handling of such information, and how to refine portfolio construction methodologies to make portfolios less vulnerable to extreme events or to benefit more from them.This is the only text that combines a comprehensive treatment of modern risk budgeting and portfolio construction techniques with the specific refinements needed for them to handle extreme events. It explains in a logical sequence what constitutes fat-tailed behaviour and why it arises, how we can analyse such behaviour, at aggregate, sector or instrument level, and how we can then take advantage of this analysis.Along the way, it provides a rigorous, comprehensive and clear development of traditional portfolio construction methodologies applicable if fat-tails are absent. It then explains how to refine these methodologies to accommodate real world behaviour.Throughout, the book highlights the importance of expert opinion, showing that even the most data-centric portfolio construction approaches ultimately depend on practitioner assumptions about how the world might behave. The book includes:Key concepts and methods involved in analysing extreme eventsA comprehensive treatment of mean-variance investing, Bayesian methods, market consistent approaches, risk budgeting, and their application to manager and instrument selectionA systematic development of the refinements needed to traditional portfolio construction methodologies to cater for fat-tailed behaviourLatest developments in stress testing and back testing methodologiesA strong focus on the practical implementation challenges that can arise at each step in the process and on how to overcome these challenges“Understanding how to model and analyse the risk of extreme events is a crucial part of the risk management process.

在构建资产或负债组合时，适当考虑极端事件是市场专业人士的一项关键原则。极端事件是市场运作的一个现实。在极端事件：存在厚尾的稳健投资组合构建中，著名专家马尔科姆·坎普向读者展示了如何分析市场数据以揭示厚尾行为，如何在处理此类信息时纳入专家判断，以及如何完善投资组合构建方法，使投资组合不易受到极端事件的影响或从中获得更多利益。这是将现代风险预算和投资组合构建技术的综合处理与处理极端事件所需的具体改进结合起来的唯一文本。它以逻辑顺序解释了什么是厚尾行为，以及它产生的原因，我们如何在总体、部门或工具层面上分析这种行为，以及我们如何利用这种分析，全面而清晰地发展传统的投资组合构建方法，如果不存在厚尾，则适用。然后，它解释了如何完善这些方法来适应现实世界的行为，表明即使是最以数据为中心的投资组合构建方法最终也取决于从业者对世界可能表现的假设。本书包括：分析极端事件涉及的关键概念和方法平均方差投资的综合处理，贝叶斯方法，市场一致性方法，风险预算，它们在经理人和工具选择中的应用系统地发展了传统投资组合构建方法所需的改进，以迎合厚尾行为压力测试和反向测试方法学的最新发展强烈关注每一步可能出现的实际实施挑战在这一过程中以及如何克服这些挑战“理解如何建模和分析极端事件的风险是风险管理过程的关键部分。