Tail Risk Hedging: Theory and Practice - Couverture souple

9781782720805: Tail Risk Hedging: Theory and Practice

Couverture souple

ISBN 10 : 1782720804 ISBN 13 : 9781782720805

Editeur : Risk Books, 2014

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Biographie de l'auteur

Andrew Rozanov is Managing Director and Head of Institutional Portfolio Advisory at Permal Group, responsible for advising sovereign wealth funds and other long-term institutional investors on various aspects of asset allocation, portfolio construction, risk management and alternative investments, with a particular focus on global macro and tail risk strategies.

Before joining Permal, Andrew was at State Street, where he was Managing Director and Head of Sovereign Advisory, working closely with the Portfolio and Risk Management Group. Prior to that, he held various roles at State Street Corporation in London and Tokyo, and he also worked at UBS Investment Bank in Japan. Andrew is well known in the industry for having introduced the term sovereign wealth funds in an article in Central Banking Journal in 2005. In 2012, he published a highly acclaimed book Global Macro: Theory and Practice. He is a Chartered Financial Analyst (CFA), a Financial Risk Manager (FRM), and a Chartered Alternative Investment Analyst (CAIA). He holds a Master s equivalent degree in Asian and African Studies from Moscow State University.

Ryan McRandal is currently a Portfolio Manager at Peters Capital Group, a global macro firm that builds and implements bespoke investment portfolios for institutional clients. These portfolios are thematic in nature and cover a range of unique investment objectives including tail risk hedging in equities and interest rates. Ryan was formerly the Head of Thematic Portfolio Management at AXA Investment Managers. His focus was on creating customized solutions and building thematic portfolios for institutional clients, particularly in areas such as macro convexity and hedging equity risk. Ryan launched and managed the first institutional fund of tail hedging strategies in the world, the award winning AXA Alternative Tail Hedge fund. Ryan was also responsible for hedge fund allocation as well as private equity, impact investing and real estate solutions and oversight. Prior to joining AXA IM, he worked for four years as the Head of Research at Unifortune Asset Management, a multi-year award-winning hedge fund boutique. Prior to that role, he was a derivatives trader. At Swiss Re Capital Markets, London, he held a Vice President position on a fixed income treasury and trading desk. He has also been a derivatives trader at WestLB in London. At WestLB he was part of the Cross Market Derivatives Arbitrage Group and has multi-assetclass derivatives expertise having traded across interest rates, foreign exchange and emerging market credit derivatives. Ryan graduated with a first-class, honors, degree in International Securities, Investment and Banking from the ICMA Centre s specialist business school for financial markets, University of Reading.

Revue de presse

The definitive source for any investor considering tail hedging. The expertise of writers (and editors!) shines through in every chapter. By showcasing the institutional users' frameworks to assess the role of tail hedging in their portfolios as well as a range of diverse solutions offered by major tail hedge providers, the book gives a comprehensive picture of the menu of possibilities, with pros and cons on each. --Antti Ilmanen, Principal at AQR Capital Management and author of Expected Returns.

Tail Risk Hedging is as important as it is timely. As yields and spreads in developed markets touch all-time lows and volatility across asset classes is crushed under the weight of global central bank intervention, it is all-too easy for investors to overlook the risks building quietly around them. With contributions from many of the industry's most thoughtful tail risk practitioners, Rozanov and McRandal have compiled an insightful and well rounded book that may turn out to be the most important addition to your investment library this year and next. --Luke Dixon, Co-Head of Public Market Manager Selection at USS Investment Management.

Rozanov and McRandal have assembled a preeminent cast of experts to tackle the hugely important challenge of tail risk hedging. Their introductory chapter offers a concise, but hardly superficial, overview of the topic, which is followed by a series of targeted analyses from the perspectives of both asset owners and managers. Anyone who worries about large drawdowns should keep this book close at hand. --Mark Kritzman, President and CEO of Windham Capital Management and Senior Lecturer at MIT Sloan

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