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Strategic Risk Management de Campbell R. Harvey

Strategic Risk Management: Wiley Finance

Autor Campbell R. Harvey, Otto van Hemert, Sandy Rattray
en Limba Engleză Hardback – 28 mai 2021

Observăm că, în mod tradițional, managementul riscului este tratat ca o funcție de control separată, un aspect secundar analizat abia după ce portofoliul a fost deja construit. Strategic Risk Management demonstrează că această abordare a eșuat critic în momentele de stres major, precum prăbușirea piețelor din martie 2020. Subliniem aici o schimbare de paradigmă: riscul nu trebuie doar monitorizat, ci integrat organic în designul investițional. Autorii, care includ experți de la Man Group, cel mai mare fond de hedging listat public, propun o „căsătorie” între procesul de investiții și cel de gestionare a expunerii. Descoperim în paginile acestei lucrări un cadru tehnic riguros care depășește simpla teorie. Dacă The Routledge Companion to Strategic Risk Management v-a oferit cadrul teoretic și conceptual al disciplinei, această carte oferă instrumentele practice și metricele necesare pentru execuție. Analizăm eficiența strategiilor defensive, învățăm cum să țintim volatilitatea pentru a obține un flux de randament echilibrat și explorăm de ce ponderarea tradițională a riscului este adesea insuficientă. Această lucrare reprezintă o evoluție naturală în opera lui Campbell R Harvey. În timp ce în Defi and the Future of Finance autorul analiza eșecul infrastructurii financiare din 2008 și nevoia de noi sisteme, în Strategic Risk Management se concentrează pe soluții pragmatice pentru portofolii reziliente. Tonul este unul autoritar și bazat pe date, demonstrând cum utilizarea reechilibrării active și a controlului drawdown-ului poate proteja activele în fața piețelor „bear” inevitabile. Este o resursă esențială care mută riscul din camera de control direct în prima linie a deciziilor financiare.

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Specificații

ISBN-13: 9781119773917
ISBN-10: 1119773911
Pagini: 256
Dimensiuni: 154 x 232 x 27 mm
Greutate: 0.53 kg
Ediția:1
Editura: John Wiley & Sons, Inc.
Colecția Wiley Finance
Seria Wiley Finance

Locul publicării:Hoboken, United States

De ce să citești această carte

Această carte este indispensabilă pentru profesioniștii din asset management și decidenții financiari care doresc să treacă de la monitorizarea pasivă la controlul activ. Cititorul va învăța cum să implementeze volatilitatea țintită și cum să evalueze corect costurile strategiilor defensive. Veți câștiga o metodologie testată în condiții reale de criză (COVID-19), transformând riscul dintr-o limitare într-un avantaj competitiv pentru obținerea unor randamente constante.

Despre autor

Campbell R Harvey este un profesor de renume la Universitatea Duke și cercetător asociat la National Bureau of Economic Research, fiind cunoscut pentru analizele sale profunde asupra piețelor financiare globale. Împreună cu Sandy Rattray (Chief Investment Officer la Man Group) și Otto van Hemert (Director de Strategii Core la Man AHL), formează o echipă ce îmbină rigoarea academică cu experiența de vârf din industria hedge fund-urilor. Expertiza lor colectivă acoperă atât finanțele descentralizate, cât și strategiile cantitative de investiții, oferind o perspectivă unică asupra gestionării capitalului în perioade de incertitudine sistemică.

Notă biografică

CAMPBELL R. HARVEY is Distinguished Professor of Finance at Duke University and a Research Associate at the National Bureau of Economic Research. He has been an investment strategy advisor to Man Group for fourteen years. His research focus is on risk management in dynamic settings. SANDY RATTRAY is Chief Investment Officer of Man Group and a member of the Man Group Executive Committee. He previously spent fifteen years at Goldman Sachs where he was Managing Director in charge of the Fundamental Strategy Group. OTTO VAN HEMERT is the Director of Core Strategies at Man AHL and a member of the Man AHL Management Committee. He has twelve years of experience running systematic trading strategies. Before that he was on the Finance faculty of NYU Stern.

Descriere

STRATEGIC RISK MANAGEMENT Having just experienced a global pandemic that sent equity markets into a tailspin in March 2020, risk management is a more relevant topic than ever. It remains, however, an often poorly understood afterthought. Many portfolios are designed without any thought given to risk management before they are handed off to a dedicated—but separate—risk management team.In Strategic Risk Management: Designing Portfolios and Managing Risk, Campbell R. Harvey, Sandy Rattray, and Otto Van Hemert deliver a reimagining of the risk management process. The book envisions a marriage between the investment and risk processes, an approach that has proven successful at the world’s largest publicly listed hedge fund, Man Group.The authors provide readers with a new framework for portfolio design that includes defensive strategies, drawdown risk controls, volatility targeting, and actively timing rebalancing trades. You will learn about how the book’s new approach to risk management fared during the recent market drawdown at the height of the COVID-19 pandemic. You will also discover why the traditional risk weighting approach only works on certain classes of assets.The book shows you how to accurately evaluate the costs of defensive strategies and which ones offer the best and most cost-effective protection against market downturns. Finally, you will learn how to obtain a more balanced return stream by targeting volatility rather than a constant notional exposure and gain a deeper understanding of concepts like portfolio rebalancing.Perfect for people working in the asset management industry and financial policy makers, Strategic Risk Management: Designing Portfolios and Managing Risk will also earn a place in the libraries of economics and finance scholars, as well as casual readers who take an active approach to investing in their savings or pension assets.PRAISE FOR STRATEGIC RISK MANAGEMENT“Strategic Risk Management shows how to fully embed risk management into the portfolio management process as an equal partner to alpha. This should clearly be best practice for all asset managers.” —Jase Auby, Chief Investment Officer, the Teacher Retirement System of Texas“This book shows the power of integrating risk and investment management, rather than applying risk management as an afterthought to satisfy set limits. I was pleased to shepherd some of the key ideas in this book through the publication process at The Journal of Portfolio Management.” —Frank J. Fabozzi, Editor, The Journal of Portfolio Management“Financial markets today are quite different from those of the last century. Understanding leverage, correlations, tails, and other risk parameters of a portfolio is at least as important as work on signals and alpha. In that sense, bringing risk management from ‘control’ to ‘front office’ should be a priority for asset managers. This book explains how to do it.” —Marko Kolanovic, Chief Global Market Strategist, J.P. MorganA powerful new approach to risk management in volatile and uncertain marketsWhile the COVID-19 pandemic threw the importance of effective risk management into sharp relief, many investment firms hang on to a traditional and outdated model of risk management. Using siloed and independent portfolio management and risk monitoring teams, these firms miss out on the opportunities presented by integrated risk management.Strategic Risk Management: Designing Portfolios and Managing Risk delivers a fresh approach to risk management in difficult market conditions. The accomplished author team advocates for the amalgamation of portfolio design and risk monitoring teams, incorporating risk management into every aspect of portfolio design.The book provides a roadmap for the crucial aspects of portfolio design, including defensive strategies, drawdown risk controls, volatility targeting, and actively timing rebalancing trades. You will discover how these techniques helped the authors achieve remarkable results during the market drawdown in the midst of the COVID-19 pandemic and how they can help you protect your assets against unpredictable—but inevitable—future bear markets.Ideal for professionals in the asset management industry, Strategic Risk Management: Designing Portfolios and Managing Risk is a valuable resource for financial policy makers, economics and finance scholars, and anyone with even a passing interest in taking an active role in investing for their future.