Risk management in trading : techniques to drive profitability of hedge funds and trading desks /
"A comprehensive resource for understanding how to minimize risk and increase profits In this accessible resource, Wall Street trader and quantitative analyst Davis W. Edwards offers a definitive guide for nonprofessionals which describes the techniques and strategies seasoned traders use when...
Κύριος συγγραφέας: | |
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Μορφή: | Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
Hoboken :
Wiley,
2014.
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Σειρά: | Wiley finance series.
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Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- Series; Title Page; Copyright; Dedication; Preface; CHAPTER 1 Trading and Hedge Funds; Overview of Book; Trading Desks; Hedge Funds; Hedge Funds Today; Strategies; Fund of Funds; Risk Management; Risk and Trading Decisions; Trading; Making a Trade; Trades; Markets; Market and Limit Orders; Order Lifespan; Trading Positions; Prices; Managing Trading Risk; What is Risk?; Risk and Reward; Monitoring Risk; Managing Risk; Test Your Knowledge; CHAPTER 2 Financial Markets; Financial Instruments; Real Assets; Financial Assets; Derivatives; Commodity Spot Market; Equities (Stocks)
- Bonds (Fixed Income, Debt)Currencies (Foreign Exchange); Forwards and Commodity Swaps; Futures; Interest Rate Swaps; Options; Test Your Knowledge; CHAPTER 3 Financial Mathematics; Overview; Variables and Functions; Random Numbers; Statistics; Mean, Median, and Mode; Variance and Volatility; Skew and Kurtosis; Random Walks (Stochastic Processes); Mean Reversion; Correlation; Diversification; Normal Distributions; Log-Normal Distributions; Calculus; Functions; First Derivative; Calculus Integration; Calculus Derivatives; Calculus Taylor Series; Time Value of Money; Test Your Knowledge
- CHAPTER 4 Backtesting and Trade ForensicsSystematic Trading; Data Validation; Strategy Testing; Transaction Costs and Slippage; Monte Carlo Testing; Model Risk; Comparing Strategies; Combining Strategies; Trade Surveillance; Test Your Knowledge; Profits and Losses; Market Price; Market Liquidity and Mark to Market; MTM and Market Crashes; MTM Accounting; Highest and Best Use; Fair Value Hierarchy; Efficient Markets; Dominant Traders; Test Your Knowledge; Position Limits; What is Value-At-Risk?; Trading Limits; Percent Returns; Parametric VAR; Estimating Volatility for Parametric VAR
- Calculating Portfolio VARVariance/Covariance Matrix; Non-Parametric VAR; VAR Limits in Practice; The Misuse of VAR; Test Your Knowledge; CHAPTER 7 Hedging; Hedging; How is Hedging Used?; Hedging Costs Money; Minimum Variance Hedge Ratio; Mismatched Cash Flows; Hedge Effectiveness Testing; Hedge-Accounting Memo; Regression Tests; Logarithmic Returns; Test Your Knowledge; CHAPTER 8 Options, Greeks, and Non-Linear Risks; Options; Greeks; The Value of Options; Black Scholes Formula; Delta; Gamma; Relationship Between Put/Call Parity and Gamma; Theta; Vega; Rho and Phi; Test Your Knowledge
- CHAPTER 9 Credit Value Adjustments (CVA)Trading is a Social Activity; Credit Risk; Exposure at Default (EAD); Loss Given Default (LGD); Probability of Default (PD); Correlation Between PD and LGD; Credit Limits and Counterparty Exposure; Current Exposure and Potential Future Exposure; Calculating a Credit Value Adjustment; Multi-Period CVA Calculation; Settlement Risk; Test Your Knowledge; Afterword; Answer Key; Chapter 1; Chapter 2; Chapter 3; Chapter 4; Chapter 5; Chapter 6; Chapter 7; Chapter 8; Chapter 9; About the Author; Index; End User License Agreement