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Risk Management
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Table of Contents

Foreword xiii Acknowledgments xv Introduction 1 PART I OVERVIEW-TWO DECADES OF RISK MANAGEMENT 5 1990-1999 CHAPTER 1 A Framework for Understanding Market Crisis 7 Richard M. Bookstaber Reprinted from AIMR Conference Proceedings: Risk Management: Principles and Practices (August 1999):7-19. CHAPTER 2 Practical Issues in Choosing and Applying Risk Management Tools 25 Jacques Longerstaey Reprinted from AIMR Conference Proceedings: Risk Management: Principles and Practices (August 1999):52-61. CHAPTER 3 The Three P's of Total Risk Management 39 Andrew W. Lo Reprinted from the Financial Analysts Journal (January/February 1999):13-26. CHAPTER 4 Reporting and Monitoring Risk Exposure 61 Robert W. Kopprasch, CFA Reprinted from AIMR Conference Proceedings: Risk Management (April 1996): 25-33. 2000-Present CHAPTER 5 Risk Management: A Review 73 Sebastien Lleo, CFA Modified from The Research Foundation of CFA Institute (February 2009). CHAPTER 6 Defining Risk 113 Glyn A. Holton Reprinted from the Financial Analysts Journal (November/December 2004): 19-25. CHAPTER 7 Value and Risk: Beyond Betas 125 Aswath Damodaran Reprinted from the Financial Analysts Journal (March/April 2005):38-43. CHAPTER 8 A Simple Theory of the Financial Crisis; or, Why Fischer Black Still Matters 133 Tyler Cowen Reprinted from the Financial Analysts Journal (May/June 2009):17-20. CHAPTER 9 Managing Firm Risk 139 Bluford H. Putnam Reprinted from AIMR Conference Proceedings: Ethical Issues for Today's Firm (July 2000):51-61. CHAPTER 10 Risk Measurement versus Risk Management 153 D. Sykes Wilford Reprinted from AIMR Conference Proceedings: Improving the Investment Process through Risk Management (November 2003):17-21. PART II: MEASURING RISK 161 CHAPTER 11 What Volatility Tells Us about Diversification and Risk Management 163 Max Darnell Reprinted from CFA institute conference proceedings quarterly (september 2009):57-66. CHAPTER 12 Risk2: Measuring the Risk in Value at Risk 175 Philippe Jorion Reprinted from the Financial Analysts Journal (November/December 1996): 47-56. CHAPTER 13 How Risk Management can Benefit Portfolio Managers 189 Michelle McCarthy Reprinted from AIMR Conference Proceedings: Risk Management: Principles and Practices (August 1999):62-72. CHAPTER 14 Merging the Risk Management Objectives of the Client and Investment Manager 205 Bennett W. Golub Reprinted from AIMR Conference Proceedings: Exploring the Dimensions of Fixed-Income Management (March 2004):13-23. CHAPTER 15 The Mismeasurement of Risk 219 Mark Kritzman, CFA, and Don Rich Reprinted from the Financial Analysts Journal (May/June 2002):91-99. CHAPTER 16: Riskiness in Risk Measurement 233 Roland Lochoff Reprinted from AIMR Conference Proceedings: Exploring the Dimensions of Fixed-Income Management (March 2004):40-51. CHAPTER 17 The Second Moment 249 Don Ezra Reprinted from the Financial Analysts Journal (January/February 2009): 34-36. CHAPTER 18 The Sense and Nonsense of Risk Budgeting 253 Arjan B. Berkelaar, CFA, Adam Kobor, CFA, and Masaki Tsumagari, CFA Reprinted from the Financial Analysts Journal (September/October 2006): 63-75. CHAPTER 19 Understanding and Monitoring the Liquidity Crisis Cycle 273 Richard Bookstaber Reprinted from the Financial Analysts Journal (September/October 2000):17-22. CHAPTER 20 Why Company-Specifi c Risk Changes over Time 283 James A. Bennett, CFA, and Richard W. Sias Reprinted from the Financial Analysts Journal (September/October 2006): 89-100. CHAPTER 21 Black Monday and Black Swans 301 John C. Bogle Reprinted from the Financial Analysts Journal (March/April 2008):30-40. CHAPTER 22 The Uncorrelated Return Myth 317 Richard M. Ennis, CFA Reprinted from the Financial Analysts Journal (November/December 2009):6-7. PART III: MANAGING RISK 321 Alternative Investments CHAPTER 23 Risk Management for Hedge Funds: Introduction and Overview 323 Andrew W. Lo Reprinted from the Financial Analysts Journal (November/December 2001): 16-33. CHAPTER 24 Risk Management for Alternative Investment Strategies 353 Leslie Rahl Reprinted from AIMR Conference Proceedings: Exploring the Dimensions of Fixed-Income Management (March 2004):52-62. CHAPTER 25 Sources of Change and Risk for Hedge Funds 367 Clifford S. Asness Reprinted from CFA Institute Conference Proceedings: Challenges and Innovation in Hedge Fund Management (August 2004):4-9, 13-14. CHAPTER 26 Risk Management in a Fund of Funds 379 S. Luke Ellis Reprinted from CFA Institute Conference Proceedings: Challenges and Innovation in Hedge Fund Management (August 2004):31-39. CHAPTER 27 Hedge Funds: Risk and Return 391 Burton G. Malkiel and Atanu Saha Reprinted from the Financial Analysts Journal (November/December 2005): 80-88. Credit Risk CHAPTER 28 Credit Risk 407 Jeremy Graveline and Michael Kokalari Modified from The Research Foundation of CFA Institute (November 2006). CHAPTER 29 Tumbling Tower of Babel: Subprime Securitization and the Credit Crisis 427 Bruce I. Jacobs Reprinted from the Financial Analysts Journal (March/April 2009):17-30. CHAPTER 30 Applying Modern Risk Management to Equity and Credit Analysis 447 Robert C. Merton Reprinted from CFA Institute Conference Proceedings Quarterly (December 2007):14-22. Derivatives CHAPTER 31 The Uses and Risks of Derivatives 459 Joanne M. Hill Reprinted from AIMR Conference Proceedings: Investing Worldwide VI (January 1996):46-58. CHAPTER 32 Effective Risk Management in the Investment Firm 475 Mark C. Brickell Reprinted from AIMR Conference Proceedings: Risk Management (April 1996):48-55. CHAPTER 33 Risk-Management Programs 487 Maarten Nederlof Reprinted from AIMR Conference Proceedings: Risk Management (April 1996):15-24. CHAPTER 34 Does Risk Management Add Value? 501 Charles W. Smithson Reprinted from AIMR Conference Proceedings: Corporate Financial Decision Making and Equity Analysis (July 1995):47-53. CHAPTER 35 Risk Management and Fiduciary Duties 511 Robert M. McLaughlin Reprinted from AIMR Conference Proceedings: Risk Management: Principles and Practices (August 1999):20-31. Global Risk CHAPTER 36 Financial Risk Management in Global Portfolios 529 R. Charles Tschampion, CFA Reprinted from AIMR Conference Proceedings: Investing Worldwide VI (January 1996):67-73. CHAPTER 37 Universal Hedging: Optimizing Currency Risk and Reward in International Equity Portfolios 539 Fischer Black Reprinted from the Financial Analysts Journal (July/August 1989):16-22. CHAPTER 38 Strategies for Hedging 551 Mark P. Kritzman, CFA Reprinted from AIMR Conference Proceedings: Managing Currency Risk (November 1997):28-38. CHAPTER 39 Currency Risk Management in Emerging Markets 567 H. Gifford Fong Reprinted from AIMR Conference Proceedings: Investing Worldwide VII (September 1996):18-23. CHAPTER 40 Managing Geopolitical Risks 573 Marvin Zonis Reprinted from CFA Institute Conference Proceedings Quarterly (September 2009):22-29. CHAPTER 41 Country Risk in Global Financial Management 583 Claude B. Erb, CFA, Campbell R. Harvey, and Tadas E. Viskanta Reprinted from the Research Foundation of CFA Institute (January 1998). CHAPTER 42 Political Risk in the World Economies 651 Marvin Zonis Reprinted from AIMR Conference Proceedings: Investing Worldwide VIII: Developments in Global Portfolio Management (September 1997):1-6. Nonfinancial Risk CHAPTER 43 A Behavioral Perspective on Risk Management 657 Andrew W. Lo Reprinted from AIMR Conference Proceedings: Risk Management: Principles and Practices (August 1999):32-37. CHAPTER 44 Behavioral Risk: Anecdotes and Disturbing Evidence 667 Arnold S. Wood Reprinted from AIMR Conference Proceedings: Investing Worldwide VI (January 1996):74-78. CHAPTER 45 The Ten Commandments of Operational Due Diligence 673 Robert P. Swan III Reprinted from CFA Institute Conference Proceedings: Challenges and Innovation in Hedge Fund Management (August 2004):47-52. CHAPTER 46 Models 681 Emanuel Derman Reprinted from the Financial Analysts Journal (January/February 2009):28-33. CHAPTER 47 The Use and Misuse of Models in Investment Management 689 Douglas T. Breeden Reprinted from CFA Institute Conference Proceedings Quarterly (December 2009): 36-45. CHAPTER 48 Regulating Financial Markets: Protecting Us from Ourselves and Others 701 Meir Statman Reprinted from the Financial Analysts Journal (May/June 2009):22-31. Pension Risk CHAPTER 49 Budgeting and Monitoring Pension Fund Risk 715 William F. Sharpe Reprinted from the Financial Analysts Journal (September/October 2002):74-86. CHAPTER 50 The Plan Sponsor's Perspective on Risk Management Programs 735 Desmond Mac Intyre Reprinted from AIMR Conference Proceedings: Risk Management: Principles and Practices (August 1999):38-44. CHAPTER 51 Evaluating a Risk-Management Program 745 Christopher J. Campisano, CFA Reprinted from AIMR Conference Proceedings: Risk Management (April 1996):41-47. CHAPTER 52 Developing and Implementing a Risk-Budgeting System 755 Leo J. de Bever Reprinted from AIMR Conference Proceedings: Improving the Investment Process through Risk Management (November 2003):62-72. CHAPTER 53 Liability-Driven Investment Strategies for Pension Funds 771 Roman von Ah Reprinted from CFA Institute Conference Proceedings Quarterly (December 2008):39-46. About the Contributors 781 Index 783

About the Author

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.

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