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Risk Management: Foundations For a Changing Financial World

توضیحات

Praise for Risk Management

"A timeless collection of thought-provoking ideas from the rock stars of risk management."
Don M. Chance, James C. Flores Endowed Chair of MBA Studies, Louisiana State University

"Risk management has taken quite a beating recently. In this collection of modern and classical papers, Bud Haslett shows how risk management is still alive and kicking. But the war is never ending; use this book as an inspiration for new arms and building an arsenal for the next battle."
Paul Wilmott, author, researcher, and designer of the Certificate in Quantitative Finance (CQF) and wilmott.com

Seminal research and expert analysis on the most important topic in modern finance

Risk management has become virtually as important as portfolio construction and asset selection—even more so after the financial crisis of 2008. Those who understood the finer points of risk management were better able to cope with the recent carnage in the markets than those who depended entirely on the field's quantitative aspects. It is these finer points of risk management that this work brings to the surface, thereby enlightening the reader. Collecting key readings on the subject from the world's preeminent organization representing financial analysts—CFA Institute—Risk Management: Foundations for a Changing Financial World offers investment professionals a solid grounding in the philosophy, background, and development of the practice of risk management.

From the evolution of risk management to credit risk; risk measurement; and managing the risk of derivatives, alternative investments, pension funds, and international investments, the book's expert contributors cover the key topics investment professionals worry about daily.


Walter V. "Bud" Haslett Jr., CFA, is Head, Risk Management, Derivatives, and Alternative Investments for CFA Institute. Mr. Haslett has served CFA Institute as an exam grader and member of the Council of Examiners as well as an ad hoc reviewer for the Financial Analysts Journal and abstractor for the CFA Digest. He is past president of the CFA Society of Philadelphia and former board member of the New York Society of Security Analysts. He holds a Master of Liberal Arts from the University of Pennsylvania and an MBA from Drexel University. Prior to joining CFA Institute, Mr. Haslett was head of option analytics for Miller Tabak & Co., LLC, and spent much of his career managing risk on the option trading floors at the Philadelphia Stock Exchange.
Foreword.

Acknowledgments.

Introduction.

PART I: OVERVIEW—TWO DECADES OF RISK MANAGEMENT.

1990–1999.

CHAPTER 1: A Framework for Understanding Market Crisis (Richard M. Bookstaber)
Reprinted from AIMR Conference Proceedings: Risk Management: Principles and Practices (August 1999):7–19.

CHAPTER 2: Practical Issues in Choosing and Applying Risk Management Tools (Jacques Longerstaey)
Reprinted from AIMR Conference Proceedings: Risk Management: Principles and Practices (August 1999):52–61.

CHAPTER 3: The Three P's of Total Risk Management (Andrew W. Lo)
Reprinted from the Financial Analysts Journal (January/February 1999):13–26.

CHAPTER 4: Reporting and Monitoring Risk Exposure (Robert W. Kopprasch, CFA)
Reprinted from AIMR Conference Proceedings: Risk Management (April 1996): 25–33.

2000–Present.

CHAPTER 5: Risk Management: A Review (Sébastien Lleo, CFA)
Modifi ed from The Research Foundation of CFA Institute (February 2009).

CHAPTER 6: Defining Risk (Glyn A. Holton)
Reprinted from the Financial Analysts Journal (November/December 2004): 19–25.

CHAPTER 7: Value and Risk: Beyond Betas (Aswath Damodaran)
Reprinted from the Financial Analysts Journal (March/April 2005):38–43.

CHAPTER 8: A Simple Theory of the Financial Crisis; or, Why Fischer Black Still Matters (Tyler Cowen)
Reprinted from the Financial Analysts Journal (May/June 2009):17–20.

CHAPTER 9: Managing Firm Risk (Bluford H. Putnam)
Reprinted from AIMR Conference Proceedings: Ethical Issues for Today’s Firm (July 2000):51–61.

CHAPTER 10: Risk Measurement versus Risk Management (D. Sykes Wilford)
Reprinted from AIMR Conference Proceedings: Improving the Investment Process through Risk Management (November 2003):17–21.

PART II: MEASURING RISK.

CHAPTER 11: What Volatility Tells Us about Diversifi cation and Risk Management (Max Darnell)
Reprinted from CFA Institute Conference Proceedings Quarterly (September 2009):57–66.

CHAPTER 12: Risk2: Measuring the Risk in Value at Risk (Philippe Jorion)
Reprinted from the Financial Analysts Journal (November/December 1996): 47–56.

CHAPTER 13: How Risk Management Can Benefi t Portfolio Managers (Michelle McCarthy)
Reprinted from AIMR Conference Proceedings: Risk Management: Principles and Practices (August 1999):62–72.

CHAPTER 14: Merging the Risk Management Objectives of the Client and Investment Manager (Bennett W. Golub)
Reprinted from AIMR Conference Proceedings: Exploring the Dimensions of Fixed-Income Management (March 2004):13–23.

CHAPTER 15: The Mismeasurement of Risk (Mark Kritzman, CFA, and Don Rich)
Reprinted from the Financial Analysts Journal (May/June 2002):91–99.

CHAPTER 16: Riskiness in Risk Measurement (Roland Lochoff)
Reprinted from AIMR Conference Proceedings: Exploring the Dimensions of Fixed-Income Management (March 2004):40–51.

CHAPTER 17: The Second Moment (Don Ezra)
Reprinted from the Financial Analysts Journal (January/February 2009): 34–36.

CHAPTER 18: The Sense and Nonsense of Risk Budgeting (Arjan B. Berkelaar, CFA, Adam Kobor, CFA, and Masaki Tsumagari, CFA)
Reprinted from the Financial Analysts Journal (September/October 2006): 63–75.

CHAPTER 19: Understanding and Monitoring the Liquidity Crisis Cycle (Richard Bookstaber)
Reprinted from the Financial Analysts Journal (September/October 2000):17–22.

CHAPTER 20: Why Company-Specifi c Risk Changes over Time (James A. Bennett, CFA, and Richard W. Sias)
Reprinted from the Financial Analysts Journal (September/October 2006): 89–100.

CHAPTER 21: Black Monday and Black Swans (John C. Bogle)
Reprinted from the Financial Analysts Journal (March/April 2008):30–40.

CHAPTER 22: The Uncorrelated Return Myth (Richard M. Ennis, CFA)
Reprinted from the Financial Analysts Journal (November/December 2009):6–7.

PART III: MANAGING RISK.

Alternative Investments.

CHAPTER 23: Risk Management for Hedge Funds: Introduction and Overview (Andrew W. Lo)
Reprinted from the Financial Analysts Journal (November/December 2001): 16–33.

CHAPTER 24: Risk Management for Alternative Investment Strategies (Leslie Rahl)
Reprinted from AIMR Conference Proceedings: Exploring the Dimensions of Fixed-Income Management (March 2004):52–62.

CHAPTER 25: Sources of Change and Risk for Hedge Funds (Clifford S. Asness)
Reprinted from CFA Institute Conference Proceedings: Challenges and Innovation in Hedge Fund Management (August 2004):4–9, 13–14.

CHAPTER 26: Risk Management in a Fund of Funds (S. Luke Ellis)
Reprinted from CFA Institute Conference Proceedings: Challenges and Innovation in Hedge Fund Management (August 2004):31–39.

CHAPTER 27: Hedge Funds: Risk and Return (Burton G. Malkiel and Atanu Saha)
Reprinted from the Financial Analysts Journal (November/December 2005): 80–88.

Credit Risk.

CHAPTER 28: Credit Risk (Jeremy Graveline and Michael Kokalari)
Modifi ed from The Research Foundation of CFA Institute (November 2006).

CHAPTER 29: Tumbling Tower of Babel: Subprime Securitization and the Credit Crisis (Bruce I. Jacobs)
Reprinted from the Financial Analysts Journal (March/April 2009):17–30.

CHAPTER 30: Applying Modern Risk Management to Equity and Credit Analysis (Robert C. Merton)
Reprinted from CFA Institute Conference Proceedings Quarterly (December 2007):14–22.

Derivatives.

CHAPTER 31: The Uses and Risks of Derivatives (Joanne M. Hill)
Reprinted from AIMR Conference Proceedings: Investing Worldwide VI (January 1996):46–58.

CHAPTER 32: Effective Risk Management in the Investment Firm (Mark C. Brickell)
Reprinted from AIMR Conference Proceedings: Risk Management (April 1996):48–55.

CHAPTER 33: Risk-Management Programs (Maarten Nederlof)
Reprinted from AIMR Conference Proceedings: Risk Management (April 1996):15–24.

CHAPTER 34: Does Risk Management Add Value? (Charles W. Smithson)
Reprinted from AIMR Conference Proceedings: Corporate Financial Decision Making and Equity Analysis (July 1995):47–53.

CHAPTER 35: Risk Management and Fiduciary Duties (Robert M. McLaughlin)
Reprinted from AIMR Conference Proceedings: Risk Management: Principles and Practices (August 1999):20–31.

Global Risk.

CHAPTER 36: Financial Risk Management in Global Portfolios (R. Charles Tschampion, CFA)
Reprinted from AIMR Conference Proceedings: Investing Worldwide VI (January 1996):67–73.

CHAPTER 37: Universal Hedging: Optimizing Currency Risk and Reward in International Equity Portfolios (Fischer Black)
Reprinted from the Financial Analysts Journal (July/August 1989):16–22.

CHAPTER 38: Strategies for Hedging (Mark P. Kritzman, CFA)
Reprinted from AIMR Conference Proceedings: Managing Currency Risk (November 1997):28–38.

CHAPTER 39: Currency Risk Management in Emerging Markets (H. Gifford Fong)
Reprinted from AIMR Conference Proceedings: Investing Worldwide VII (September 1996):18–23.

CHAPTER 40: Managing Geopolitical Risks (Marvin Zonis)
Reprinted from CFA Institute Conference Proceedings Quarterly (September 2009):22–29.

CHAPTER 41: Country Risk in Global Financial Management (Claude B. Erb, CFA, Campbell R. Harvey, and Tadas E. Viskanta)
Reprinted from The Research Foundation of CFA Institute (January 1998).

CHAPTER 42: Political Risk in the World Economies (Marvin Zonis)
Reprinted from AIMR Conference Proceedings: Investing Worldwide VIII: Developments in Global Portfolio Management (September 1997):1–6.

Nonfi nancial Risk.

CHAPTER 43: A Behavioral Perspective on Risk Management (Andrew W. Lo)
Reprinted from AIMR Conference Proceedings: Risk Management: Principles and Practices (August 1999):32–37.

CHAPTER 44: Behavioral Risk: Anecdotes and Disturbing Evidence (Arnold S. Wood)
Reprinted from AIMR Conference Proceedings: Investing Worldwide VI (January 1996):74–78.

CHAPTER 45: The Ten Commandments of Operational Due Diligence (Robert P. Swan III)
Reprinted from CFA Institute Conference Proceedings: Challenges and Innovation in Hedge Fund Management (August 2004):47–52.

CHAPTER 46: Models (Emanuel Derman)
Reprinted from the Financial Analysts Journal (January/February 2009):28–33.

CHAPTER 47: The Use and Misuse of Models in Investment Management (Douglas T. Breeden)
Reprinted from CFA Institute Conference Proceedings Quarterly (December 2009): 36–45.

CHAPTER 48: Regulating Financial Markets: Protecting Us from Ourselves and Others (Meir Statman)
Reprinted from the Financial Analysts Journal (May/June 2009):22–31.

Pension Risk.

CHAPTER 49: Budgeting and Monitoring Pension Fund Risk (William F. Sharpe)
Reprinted from the Financial Analysts Journal (September/October 2002):74–86.

CHAPTER 50: The Plan Sponsor's Perspective on Risk Management Programs (Desmond Mac Intyre)
Reprinted from AIMR Conference Proceedings: Risk Management: Principles and Practices (August 1999):38–44.

CHAPTER 51: Evaluating a Risk-Management Program (Christopher J. Campisano, CFA)
Reprinted from AIMR Conference Proceedings: Risk Management (April 1996):41–47.

CHAPTER 52: Developing and Implementing a Risk-Budgeting System (Leo J. de Bever)
Reprinted from AIMR Conference Proceedings: Improving the Investment Process through Risk Management (November 2003):62–72.

CHAPTER 53: Liability-Driven Investment Strategies for Pension Funds (Roman von Ah)
Reprinted from CFA Institute Conference Proceedings Quarterly (December 2008):39–46.

About the Contributors.

Index.