PART I: INTRODUCTION 1. Introduction 2. Risk-Based Portfolio Selection - An Overview 3. Investment Management Theory PART II: RISK MANAGEMENT 4. Risk Management 5. Risk Modelling 6. Risk Measurement 7. Derivatives Risk Management PART III: RISK-BASED PORTFOLIO SELECTION 8. Asset Allocation 9. Indexed Equities Portfolios 10. Equities Portfolios 11. Optimization for Equity Stock Selection 12. Fixed Interest Portfolios 13. Credit Portfolios 14. Property Portfolios 15. Structured Products 16. Hedge Funds and Funds of Hedge Funds PART IV: PERIPHERALS 17. Implementation 18. Performance Measurement and Attribution 19. Trends in Investment Management Appendix 1. Pricing Interest Rate Securities Appendix 2. Forward Contracts Appendix 3. Futures Contracts Appendix 4. Swaps Appendix 5. Options Appendix 6. Convertible Notes
FRANCES COWELL is Director of Risk Consulting for R-Squared Risk
Management, where she advises on the practical application and
interpretation of portfolio risk profiles and risk management in
extreme and stressed market conditions. She has worked in the
investment industry for over 30 years, initially as research
analyst and investment manager for public and private pension
funds. She managed domestic and international equities portfolios
and multi-asset class portfolios, oversaw the management of
protected and guaranteed minimum return funds and managed relative
value portfolios that exploited mispricing in derivatives markets.
During this time she worked with leading practitioners and
academics to apply established investment theory and defensive use
of derivatives to practical challenges in order to deliver defined
outcomes for pension and retail funds across asset classes. She was
an early adherent of investment management from a risk perspective,
which served her well throughout the market bubbles and shocks of
the late 1980s, 1990s and of course 2007-08. For the past 15 years,
she has specialized in investment risk management for multi-asset
class portfolios, specialist portfolios and for in-house managed
hedge funds. As Chief Risk Officer for two London investment
management firms, she managed a team of professional risk managers
and attended to the regulatory and governance demands of multiple
investment funds.
She studied at the University of New South Walesand the Australian
Graduate School of Management, earning a Bachelor of Arts and an
MBA. She is an occasional contributor to industry publications on
the subject of risk management for derivatives and hedge funds and
is a founding director of the London Quant Group.
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