Identify and understand the risks facing your portfolio,
how to quantify them, and the best tools to hedge them
This book scrutinizes the various risks confronting a portfolio,
equips the reader with the tools necessary to identify and
understand these risks, and discusses the best ways to hedge
them.
The book does not require a specialized mathematical foundation,
and so will appeal to both the generalist and specialist alike. For
the generalist, who may not have a deep knowledge of mathematics,
the book illustrates, through the copious use of examples, how to
identify risks that can sometimes be hidden, and provides practical
examples of quantifying and hedging exposures. For the specialist,
the authors provide a detailed discussion of the mathematical
foundations of risk management, and draw on their experience of
hedging complex multi-asset class portfolios, providing practical
advice and insights.
Provides a clear description of the risks faced by managers
with equity, fixed income, commodity, credit and foreign exchange
exposures
Elaborates methods of quantifying these risks
Discusses the various tools available for hedging, and how to
choose optimal hedging instruments
Illuminates hidden risks such as counterparty, operational,
human behavior and model risks, and expounds the importance and
instability of model assumptions, such as market correlations, and
their attendant dangers
Explains in clear yet effective terms the language of
quantitative finance and enables a non-quantitative investment
professional to communicate effectively with professional risk
managers, "quants", clients and others
Providing thorough coverage of asset modeling, hedging
principles, hedging instruments, and practical portfolio
management, Hedging Market Exposures helps portfolio
managers, bankers, transactors and finance and accounting
executives understand the risks their business faces and the ways
to quantify and control them.
關於作者：
OLEG V. BYCHUK has
eleven years of capital markets experience. This includes roles as
head of Risk Management at Julius Baer Investment Management and
head of Risk Management and Quantitative Research at Alternative
Asset Managers. He has also held various positions at Citigroup
Global Markets, OppenheimerFunds, and Deutsche Bank. Dr. Bychuk
holds degrees from Columbia University PhD and Lomonosov Moscow
State University and has published numerous articles.
BRIAN J. HAUGHEY is an Assistant Professor of Finance and
Director of the Investment Center at Marist College. Previously, he
headed the Mutual Fund Fee business in the Global Special
Situations Group at Citigroup Global Markets. Prior to joining
Citigroup, he was with Fitch Ratings.
目錄：
Preface ix
Introduction xi
About the Authors xvii
CHAPTER
The Economic Environment
1.1 Introduction
1.2 Inflation and Unemployment
1.3 Central Banks and the Money Supply
1.4 The Business Cycle
1.5 Predicting the Future?
1.6 Economic Indicators
CHAPTER
Risk: An Introduction
2.1 What Is Risk?
2.2 Risks of Financial Instruments
2.3 Operational Risk
2.4 What Risks Are in Your Portfolio? Hidden Hazards
2.5 Hedging Market Risks
CHAPTER
Asset Modeling
3.1 Asset Value
3.2 Financial Models
3.3 Valuation Principles
3.4 Discount Rates Selection
3.5 Cash Flow Projection and Asset Valuation
3.6 Stochastic Asset Valuation
3.7 The Monte Carlo Method
3.8 Stochastic Extrapolation
CHAPTER
Market Exposures and Factor Sensitivities
4.1 From Valuation to Responses and Sensitivities
4.2 Response Matrix and Scenario Grid
4.3 Stress-Testing
4.4 Sensitivities
4.5 Interest Rate Sensitivities: Duration, PV01, Convexity,
Key Rate Measures
4.6 Numerical Evaluation of Sensitivities
4.7 Performance Attribution and Completeness Test
CHAPTER
Quantifying Portfolio Risks
5.1 The Nature of Risk
5.2 Standard Risk Measures
5.3 Optimal Hedge Sizing
5.4 Tail-Risk Measures
CHAPTER
The Decision to Hedge
6.1 To Hedge or Not to Hedge?
6.2 The Hedging Process
CHAPTER
Constructing a Hedge
7.1 An Ideal Hedge
7.2 A Sample Hedge
7.3 Static and Dynamic Hedging
7.4 Proxy Hedging
7.5 Protection versus Upside
7.6 Basis Risk
7.7 Unintended Consequences
7.8 Hedging Credit Risk
7.9 Hedging Prepayment, Redemption, and Other Human
Behavior Risks
7.10 Execution
APPENDIX A
Basics of Probability Theory
APPENDIX B
Elements of Statistics and Time Series Analysis
References
Glossary
Index
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