Investment Risk and Uncertainty: Advanced Risk Awareness Techniques for the Intelligent Investor

Praise for Investment Risk and Uncertainty

“It was not long ago that risk management was barely mentioned in any discussion of the investment management process. The focus of professional managers was primarily on the return side of the equation. The investment management industry has come a long way in the last twenty-five years, and today, an understanding of risk issues is not only extremely important but an absolute necessity. This book is the best reference source I have encountered that covers all of the risk management essentials. Anyone involved in the investment business today will be well served by taking advantage of the collective wisdom of the experts contributing to an excellent overview on this critical subject.”
—Dan Cardell, Chicago Quantitative Alliance

“Steve Greiner’s book clearly communicates the complex dependencies between the science of risk measurement and the art of risk management. Readers looking for detail as well as intuition will find a wealth of material explaining the current best thinking in both disciplines. On top, they will receive a variety of novel ideas worthwhile to further expand upon.”
—Dr. Bernhard Scherer, CIO, FTC Capital

With the onset of the credit crisis of 2008 and the sovereign debt crisis in the Eurozone, there has been an increasing demand for better and more comprehensive risk reporting. However, most resources on the subject are complicated, often misunderstood, and extremely hard to apply to real-world scenarios. Steven Greiner—a financial professional with over twenty years of quantitative and modeling experience—has assembled a group of expert contributors to create a comprehensive and accessible guide to financial risk management. Investment Risk and Uncertainty skillfully reduces the complexity of risk management methodologies applied across many asset classes.

This reliable resource addresses a wide range of timely risk management topics including options and interest rate derivatives, portfolio risk measures, fixed income issues, spread risk, and much more. The book explores how particular methods can lower risk and mitigate losses and includes detailed information on the Axioma risk models and the SunGard-APT risk management system. It also offers guidance for distinguishing and understanding how to apply the various risk models.

Along the way, Investment Risk and Uncertainty also examines how to stress-test your portfolio and remove the exposure to regular risks and those from “Black Swan” events. In addition, the book provides essential facts on risk management algorithms for multi-asset class managers as well as risk managers, and addresses the new compliance rules and how to best address them. More than just an explanation of specific risk issues, this timely guide provides practical “off-the-shelf” applications that will allow the intelligent investor to understand their risks, their sources, and how to hedge those risks.

In clear and accessible language, Investment Risk and Uncertainty spells out the theory of risk management in practical applications for portfolio managers, pension fund advisors, and consultants. This book will put investors in a better position to confidently face the investment risks and uncertainties found in today’s dynamic markets.