Risk Management Foundations For a Changing Financial World

by Haslett, Walter V. Bud

• ISBN13: 9780470903391
• ISBN10: 0470903392
• Edition: 1st
• Format: Hardcover
• Copyright: 2010-09-28
• Publisher: Wiley

Summary

Risk management has become virtually as important as portfolio construction and asset selection, more so after the financial crisis of 2008-2009. Those who understood the fine art of risk management survived the wreckage of the markets; those who depended entirely on risk modeling suffered greatly. The reality is that managing risk successfully is just as much art as science and involves a deep understanding of theory, market history, and meaningful risk measurement methodologies. For two decades, the CFA has been publishing some of the most important works on risk management from leading practitioners. This new volume outlines the evolution of risk management with key contributions from top risk managers including Rick Bookstaber, Peter Bernstein, Aswath Damodaran, Phillippe Jorion, Cliff Asness, Andrew Lo, among others. Covering the full range of risk management issues, the book includes key information on the history of firm and portfolio risk management, risk measurement, credit risk, and risk management of derivatives, pension funds, and international investments.

Author Biography

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.

Table of Contents

Foreword

Acknowledgments

Introduction

Overview-Two Decades Of Risk Management

1990-1999

A Framework For Understanding Market Crisis

Practical Issues In Choosing And Applying Risk Management Tools

The Three P's Of Total Risk Management

Reporting And Monitoring Risk Exposure

2000-Present

Risk Management: A Review

Defining Risk

Value And Risk: Beyond Betas

(A Simple Theory Of The Financial Crisis; Or, Why Fischer Black Still Matters

(Managing Firm Risk

(Risk Measurement Versus Risk Management

Measuring Risk

What Volatility Tells Us About Diversification And Risk Management

Risk: Measuring The Risk In Value At Risk

How Risk Management Can Benefi T Portfolio Managers

Merging The Risk Management Objectives Of The Client And Investment Manager

The Mismeasurement Of Risk

Riskiness In Risk Measurement

The Second Moment

The Sense And Nonsense Of Risk Budgeting

Understanding And Monitoring The Liquidity Crisis Cycle

Why Company-Specifi C Risk Changes Over Time

Black Monday And Black Swans

The Uncorrelated Return Myth

Managing Risk

Alternative Investments

Risk Management For Hedge Funds: Introduction And Overview

Risk Management For Alternative Investment Strategies

Sources Of Change And Risk For Hedge Funds

Risk Management In A Fund Of Funds

Hedge Funds: Risk And Return

Credit Risk

Credit Risk

Tumbling Tower Of Babel: Subprime Securitization And The Credit Crisis

Applying Modern Risk Management To Equity And Credit Analysis

Derivatives

The Uses And Risks Of Derivatives

Effective Risk Management In The Investment Firm

Risk-Management Programs

Does Risk Management Add Value?

Risk Management And Fiduciary Duties

Global Risk

Financial Risk Management In Global Portfolios

Universal Hedging: Optimizing Currency Risk And Reward In International Equity Portfolios

Strategies For Hedging

Currency Risk Management In Emerging Markets

Managing Geopolitical Risks

Country Risk In Global Financial Management

Political Risk In The World Economies

Nonfinancial Risk

A Behavioral Perspective On Risk Management

Behavioral Risk: Anecdotes And Disturbing Evidence

The Ten Commandments Of Operational Due Diligence

Models

The Use And Misuse Of Models In Investment Management

Regulating Financial Markets: Protecting Us From Ourselves And Others

Pension Risk

Budgeting And Monitoring Pension Fund Risk

The Plan Sponsor's Perspective On Risk Management Programs

Evaluating A Risk-Management Program

Developing And Implementing A Risk-Budgeting System

Liability-Driven Investment Strategies For Pension Funds

About the Contributors

Index

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