Risk Management

Foreword
Acknowledgments
Introduction

PART I: OVERVIEW—TWO DECADES OF RISK MANAGEMENT
1990–1999
CHAPTER 1: A Framework for Understanding Market Crisis (Richard MBookstaber)
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 (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 (Andrew WLo)
Reprinted from the Financial Analysts Journal (January/February 1999):13–26
CHAPTER 4: Reporting and Monitoring Risk Exposure (Robert WKopprasch, CFA)
Reprinted from AIMR Conference Proceedings: Risk Management (April 1996): 25–33

2000–Present
CHAPTER 5: Risk Management: A Review (Sébastien Lleo, CFA)
Modifi ed from The Research Foundation of CFA Institute (February 2009)
CHAPTER 6: Defining Risk (Glyn AHolton)
Reprinted from the Financial Analysts Journal (November/December 2004): 19–25
CHAPTER 7: Value and Risk: Beyond Betas (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 (Tyler Cowen)
Reprinted from the Financial Analysts Journal (May/June 2009):17–20
CHAPTER 9: Managing Firm Risk (Bluford HPutnam)
Reprinted from AIMR Conference Proceedings: Ethical Issues for Today's Firm (July 2000):51–61
CHAPTER 10: Risk Measurement versus Risk Management (DSykes Wilford)
Reprinted from AIMR Conference Proceedings: Improving the Investment Process through Risk Management (November 2003):17–21

PART II: MEASURING RISK
CHAPTER 11: What Volatility Tells Us about Diversifi cation and Risk Management (Max Darnell)
Reprinted from CFA Institute Conference Proceedings Quarterly (September 2009):57–66
CHAPTER 12: Risk2: Measuring the Risk in Value at Risk (Philippe Jorion)
Reprinted from the Financial Analysts Journal (November/December 1996): 47–56
CHAPTER 13: How Risk Management Can Benefi t Portfolio Managers (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 (Bennett WGolub)
Reprinted from AIMR Conference Proceedings: Exploring the Dimensions of Fixed-Income Management (March 2004):13–23
CHAPTER 15: The Mismeasurement of Risk (Mark Kritzman, CFA, and Don Rich)
Reprinted from the Financial Analysts Journal (May/June 2002):91–99
CHAPTER 16: Riskiness in Risk Measurement (Roland Lochoff)
Reprinted from AIMR Conference Proceedings: Exploring the Dimensions of Fixed-Income Management (March 2004):40–51
CHAPTER 17: The Second Moment (Don Ezra)
Reprinted from the Financial Analysts Journal (January/February 2009): 34–36
CHAPTER 18: The Sense and Nonsense of Risk Budgeting (Arjan BBerkelaar, 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 (Richard Bookstaber)
Reprinted from the Financial Analysts Journal (September/October 2000):17–22
CHAPTER 20: Why Company-Specifi c Risk Changes over Time (James ABennett, CFA, and Richard WSias)
Reprinted from the Financial Analysts Journal (September/October 2006): 89–100
CHAPTER 21: Black Monday and Black Swans (John CBogle)
Reprinted from the Financial Analysts Journal (March/April 2008):30–40
CHAPTER 22: The Uncorrelated Return Myth (Richard MEnnis, CFA)
Reprinted from the Financial Analysts Journal (November/December 2009):6–7

PART III: MANAGING RISK
Alternative Investments
CHAPTER 23: Risk Management for Hedge Funds: Introduction and Overview (Andrew WLo)
Reprinted from the Financial Analysts Journal (November/December 2001): 16–33
CHAPTER 24: Risk Management for Alternative Investment Strategies (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 (Clifford SAsness)
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 (SLuke 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 (Burton GMalkiel and Atanu Saha)
Reprinted from the Financial Analysts Journal (November/December 2005): 80–88

Credit Risk
CHAPTER 28: Credit Risk (Jeremy Graveline and Michael Kokalari)
Modifi ed from The Research Foundation of CFA Institute (November 2006)
CHAPTER 29: Tumbling Tower of Babel: Subprime Securitization and the Credit Crisis (Bruce IJacobs)
Reprinted from the Financial Analysts Journal (March/April 2009):17–30
CHAPTER 30: Applying Modern Risk Management to Equity and Credit Analysis (Robert CMerton)
Reprinted from CFA Institute Conference Proceedings Quarterly (December 2007):14–22

Derivatives
CHAPTER 31: The Uses and Risks of Derivatives (Joanne MHill)
Reprinted from AIMR Conference Proceedings: Investing Worldwide VI (January 1996):46–58
CHAPTER 32: Effective Risk Management in the Investment Firm (Mark CBrickell)
Reprinted from AIMR Conference Proceedings: Risk Management (April 1996):48–55
CHAPTER 33: Risk-Management Programs (Maarten Nederlof)
Reprinted from AIMR Conference Proceedings: Risk Management (April 1996):15–24
CHAPTER 34: Does Risk Management Add Value? (Charles WSmithson)
Reprinted from AIMR Conference Proceedings: Corporate Financial Decision Making and Equity Analysis (July 1995):47–53
CHAPTER 35: Risk Management and Fiduciary Duties (Robert MMcLaughlin)
Reprinted from AIMR Conference Proceedings: Risk Management: Principles and Practices (August 1999):20–31

Global Risk
CHAPTER 36: Financial Risk Management in Global Portfolios (RCharles 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 (Fischer Black)
Reprinted from the Financial Analysts Journal (July/August 1989):16–22
CHAPTER 38: Strategies for Hedging (Mark PKritzman, CFA)
Reprinted from AIMR Conference Proceedings: Managing Currency Risk (November 1997):28–38
CHAPTER 39: Currency Risk Management in Emerging Markets (HGifford Fong)
Reprinted from AIMR Conference Proceedings: Investing Worldwide VII (September 1996):18–23
CHAPTER 40: Managing Geopolitical Risks (Marvin Zonis)
Reprinted from CFA Institute Conference Proceedings Quarterly (September 2009):22–29
CHAPTER 41: Country Risk in Global Financial Management (Claude BErb, CFA, Campbell RHarvey, and Tadas EViskanta)
Reprinted from The Research Foundation of CFA Institute (January 1998)
CHAPTER 42: Political Risk in the World Economies (Marvin Zonis)
Reprinted from AIMR Conference Proceedings: Investing Worldwide VIII: Developments in Global Portfolio Management (September 1997):1–6

Nonfi nancial Risk
CHAPTER 43: A Behavioral Perspective on Risk Management (Andrew WLo)
Reprinted from AIMR Conference Proceedings: Risk Management: Principles and Practices (August 1999):32–37
CHAPTER 44: Behavioral Risk: Anecdotes and Disturbing Evidence (Arnold SWood)
Reprinted from AIMR Conference Proceedings: Investing Worldwide VI (January 1996):74–78
CHAPTER 45: The Ten Commandments of Operational Due Diligence (Robert PSwan III)
Reprinted from CFA Institute Conference Proceedings: Challenges and Innovation in Hedge Fund Management (August 2004):47–52
CHAPTER 46: Models (Emanuel Derman)
Reprinted from the Financial Analysts Journal (January/February 2009):28–33
CHAPTER 47: The Use and Misuse of Models in Investment Management (Douglas TBreeden)
Reprinted from CFA Institute Conference Proceedings Quarterly (December 2009): 36–45
CHAPTER 48: Regulating Financial Markets: Protecting Us from Ourselves and Others (Meir Statman)
Reprinted from the Financial Analysts Journal (May/June 2009):22–31

Pension Risk
CHAPTER 49: Budgeting and Monitoring Pension Fund Risk (William FSharpe)
Reprinted from the Financial Analysts Journal (September/October 2002):74–86
CHAPTER 50: The Plan Sponsor's Perspective on Risk Management Programs (Desmond Mac Intyre)
Reprinted from AIMR Conference Proceedings: Risk Management: Principles and Practices (August 1999):38–44
CHAPTER 51: Evaluating a Risk-Management Program (Christopher JCampisano, CFA)
Reprinted from AIMR Conference Proceedings: Risk Management (April 1996):41–47
CHAPTER 52: Developing and Implementing a Risk-Budgeting System (Leo Jde 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 (Roman von Ah)
Reprinted from CFA Institute Conference Proceedings Quarterly (December 2008):39–46

About the Contributors
Index.