Hedging Market Exposures

Beschreibung

Hedging Market Exposures Identifying and Managing Market Risks In Hedging Market Exposures, authors and financial industry leaders Oleg Bychuk and Brian Haughey--who through the Great Recession have successfully managed a complex highly leveraged portfolio of asset-backed securities with significant equity, fixed income, credit, and other exposures--offer a practical guide to three fundamental elements of the risk control process that have not previously received the attention they deserve--identifying, quantifying, and managing market risks. Providing a practical, proactive plan to help you know the risks facing your portfolio, Hedging Market Exposures offers expert guidance on: * How to select the appropriate tools to hedge various risks * Learning the language of quantitative finance * Communicating effectively with professional risk managers and "quants'' * Asset modeling * Market exposures and factor sensitivities * Constructing a hedge The tasks of identifying and quantifying risks and then selecting an optimal hedge when a "perfect" one does not exist are just as important as understanding the intricacies of exotic derivative valuation, but are usually overlooked. In-depth and straightforward, Hedging Market Exposures reveals how to focus not merely on quantitative measurement of risk but also on qualitative analysis and, crucially, on risk management. While a manager is ultimately concerned with the risks of a portfolio as a whole, the need also exists to understand the dangers associated with the underlying portfolio constituents. In the end, it is the risks of these individual securities and, especially, the interplay of these risks that shape the portfolio's risk profile. Find out how you can identify, quantify, and manage market risks in your portfolio with the dynamic hedging strategies found in Hedging Market Exposures.
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.

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Oleg V. Bychuk

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