Book description
Key readings in risk management from CFA Institute, the preeminent organization representing financial analysts
Risk management may have been the single most important topic in finance over the past two decades. To appreciate its complexity, one must understand the art as well as the science behind it. Risk Management: Foundations for a Changing Financial World provides investment professionals with a solid framework for understanding the theory, philosophy, and development of the practice of risk management by
Outlining the evolution of risk management and how the discipline has adapted to address the future of managing risk
Covering the full range of risk management issues, including firm, portfolio, and credit risk management
Examining the various aspects of measuring risk and the practical aspects of managing risk
Including key writings from leading risk management practitioners and academics, such as Andrew Lo, Robert Merton, John Bogle, and Richard Bookstaber
For financial analysts, money managers, and others in the finance industry, this book offers an in-depth understanding of the critical topics and issues in risk management that are most important to today's investment professionals.
Table of contents
- Title Page
- Copyright Page
- Foreword
- Acknowledgments
- Introduction
-
PART I - OVERVIEW—TWO DECADES OF RISK MANAGEMENT
- CHAPTER 1 - A FRAMEWORK FOR UNDERSTANDING MARKET CRISIS
- CHAPTER 2 - PRACTICAL ISSUES IN CHOOSING AND APPLYING RISK MANAGEMENT TOOLS
- CHAPTER 3 - THE THREE P’S OF TOTAL RISK MANAGEMENT
- CHAPTER 4 - REPORTING AND MONITORING RISK EXPOSURE
- CHAPTER 5 - RISK MANAGEMENT: A REVIEW
- CHAPTER 6 - DEFINING RISK
- CHAPTER 7 - VALUE AND RISK: BEYOND BETAS
- CHAPTER 8 - A SIMPLE THEORY OF THE FINANCIAL CRISIS; OR, WHY FISCHER BLACK STILL MATTERS
- CHAPTER 9 - MANAGING FIRM RISK
- CHAPTER 10 - RISK MEASUREMENT VERSUS RISK MANAGEMENT
-
PART II - MEASURING RISK
- CHAPTER 11 - WHAT VOLATILITY TELLS US ABOUT DIVERSIFICATION AND RISK MANAGEMENT
- CHAPTER 12 - RISK: MEASURING THE RISK IN VALUE AT RISK
- CHAPTER 13 - HOW RISK MANAGEMENT CAN BENEFIT PORTFOLIO MANAGERS
- CHAPTER 14 - MERGING THE RISK MANAGEMENT OBJECTIVES OF THE CLIENT AND INVESTMENT MANAGER
- CHAPTER 15 - THE MISMEASUREMENT OF RISK
- CHAPTER 16 - RISKINESS IN RISK MEASUREMENT
- CHAPTER 17 - THE SECOND MOMENT
-
CHAPTER 18 - THE SENSE AND NONSENSE OF RISK BUDGETING
- RISK ALLOCATION MODELS
- RISK ALLOCATION VS. ASSET ALLOCATION
- OPTIMAL RISK ALLOCATION
- SENSITIVITY OF THE OPTIMAL RISK ALLOCATION
- RISK ALLOCATIONS AND IMPLIED IRs
- OPTIMAL ALLOCATION TO STRATEGIC AND ACTIVE RISK
- SETTING THE OVERALL RISK BUDGET
- SETTING TARGET IRs
- CONCLUSION
- ACKNOWLEDGMENTS
- APPENDIX A. OPTIMAL RISK ALLOCATION
- NOTES
- REFERENCES
- CHAPTER 19 - UNDERSTANDING AND MONITORING THE LIQUIDITY CRISIS CYCLE
- CHAPTER 20 - WHY COMPANY-SPECIFIC RISK CHANGES OVER TIME
- CHAPTER 21 - BLACK MONDAY AND BLACK SWANS
- CHAPTER 22 - THE UNCORRELATED RETURN MYTH
-
PART III - MANAGING RISK
- CHAPTER 23 - RISK MANAGEMENT FOR HEDGE FUNDS: INTRODUCTION AND OVERVIEW
- CHAPTER 24 - RISK MANAGEMENT FOR ALTERNATIVE INVESTMENT STRATEGIES
- CHAPTER 25 - SOURCES OF CHANGE AND RISK FOR HEDGE FUNDS
- CHAPTER 26 - RISK MANAGEMENT IN A FUND OF FUNDS
- CHAPTER 27 - HEDGE FUNDS: RISK AND RETURN
-
CHAPTER 28 - CREDIT RISK
- WHAT ARE CREDIT DERIVATIVES?
- PREDICTING DEFAULT
- STRUCTURAL PRICING MODELS
- REDUCED-FORM PRICING MODELS
- CDS
- TIME-VARYING DEFAULT INTENSITIES
- SIMULATING DEFAULT TIMES
- EXAMPLE OF SIMULATING DEFAULT TIMES
- CDOs
- THE IMPACT OF CORRELATION ON CDO PRICES
- CREDIT INDICES
- BASKET DEFAULT SWAPS
- MODELS OF CORRELATED DEFAULT
- PRICING A CDO BY MONTE CARLO ANALYSIS
- SUMMARY
- ACKNOWLEDGMENTS
- NOTES
- REFERENCES
- CHAPTER 29 - TUMBLING TOWER OF BABEL: SUBPRIME SECURITIZATION AND THE CREDIT CRISIS
- CHAPTER 30 - APPLYING MODERN RISK MANAGEMENT TO EQUITY AND CREDIT ANALYSIS
- CHAPTER 31 - THE USES AND RISKS OF DERIVATIVES
- CHAPTER 32 - EFFECTIVE RISK MANAGEMENT IN THE INVESTMENT FIRM
- CHAPTER 33 - RISK-MANAGEMENT PROGRAMS
- CHAPTER 34 - DOES RISK MANAGEMENT ADD VALUE?
- CHAPTER 35 - RISK MANAGEMENT AND FIDUCIARY DUTIES
- CHAPTER 36 - FINANCIAL RISK MANAGEMENT IN GLOBAL PORTFOLIOS
- CHAPTER 37 - UNIVERSAL HEDGING: OPTIMIZING CURRENCY RISK AND REWARD IN INTERNATIONAL EQUITY PORTFOLIOS
- CHAPTER 38 - STRATEGIES FOR HEDGING
- CHAPTER 39 - CURRENCY RISK MANAGEMENT IN EMERGING MARKETS
- CHAPTER 40 - MANAGING GEOPOLITICAL RISKS
- CHAPTER 41 - COUNTRY RISK IN GLOBAL FINANCIAL MANAGEMENT
- CHAPTER 42 - POLITICAL RISK IN THE WORLD ECONOMIES
- CHAPTER 43 - A BEHAVIORAL PERSPECTIVE ON RISK MANAGEMENT
- CHAPTER 44 - BEHAVIORAL RISK: ANECDOTES AND DISTURBING EVIDENCE
-
CHAPTER 45 - THE TEN COMMANDMENTS OF OPERATIONAL DUE DILIGENCE
- ONE: DEFINE THE ROLE
- TWO: DEFINE THE GOAL—SAFEGUARD THE ASSETS
- THREE: DEFINE THE OBJECTIVE—INTEGRATE CONTROLS CONSISTENTLY AND EFFECTIVELY
- FOUR: SEGREGATE THE FUNCTION
- FIVE: DO THE WORK
- SIX: DOCUMENT AND COMMUNICATE
- SEVEN: WORK EFFICIENTLY WITH INVESTMENT RESEARCH
- EIGHT: REMEMBER THE FUNDAMENTALS
- NINE: NOTE THE TONE AT THE TOP
- TEN: BE VIGILANT ABOUT RED FLAGS
- QUESTION AND ANSWER SESSION
- NOTE
- CHAPTER 46 - MODELS
- CHAPTER 47 - THE USE AND MISUSE OF MODELS IN INVESTMENT MANAGEMENT
- CHAPTER 48 - REGULATING FINANCIAL MARKETS: PROTECTING US FROM OURSELVES AND OTHERS
- CHAPTER 49 - BUDGETING AND MONITORING PENSION FUND RISK
- CHAPTER 50 - THE PLAN SPONSOR’S PERSPECTIVE ON RISK MANAGEMENT PROGRAMS
- CHAPTER 51 - EVALUATING A RISK-MANAGEMENT PROGRAM
- CHAPTER 52 - DEVELOPING AND IMPLEMENTING A RISK-BUDGETING SYSTEM
- CHAPTER 53 - LIABILITY-DRIVEN INVESTMENT STRATEGIES FOR PENSION FUNDS
- ABOUT THE CONTRIBUTORS
- INDEX
Product information
- Title: Risk Management: Foundations for a Changing Financial World
- Author(s):
- Release date: September 2010
- Publisher(s): Wiley
- ISBN: 9780470903391
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