Strategic Risk Management: Designing Portfolios and Managing Risk

In Strategic Risk Management: Designing Portfolios and Managing Risk, Campbell R. Harvey, Sandy Rattray, and Otto Van Hemert provide a reimagining of the risk management process, advocating for a marriage between investment and risk processes. The book offers a new framework for portfolio design that includes defensive strategies, drawdown risk controls, volatility targeting, and actively timing rebalancing trades. It explains how to accurately evaluate the costs of defensive strategies and which ones offer the best protection against market downturns. The book is praised for its integration of risk and investment management and its focus on bringing risk management from 'control to 'front office.

Format: Hardback
Length: 256 pages
Publication date: 28 May 2021
Publisher: John Wiley & Sons Inc

Strategic risk management is an increasingly important topic in the aftermath of the global pandemic that caused equity markets to plummet in March 2020. Despite its significance, risk management is often overlooked or misunderstood. Many portfolios are designed without any consideration for risk management, and they are subsequently handed off to a dedicated risk management team. In Strategic Risk Management: Designing Portfolios and Managing Risk, Campbell R. Harvey, Sandy Rattray, and Otto Van Hemert offer a fresh perspective on risk management. The book advocates for a fusion of investment and risk processes, a strategy that has proven successful at the world's largest publicly listed hedge fund, Man Group.

The authors provide readers with a comprehensive framework for portfolio design that incorporates defensive strategies, drawdown risk controls, volatility targeting, and active trade rebalancing. The book delves into how the new approach to risk management performed during the recent market downturn, particularly during the height of the COVID-19 pandemic. It also highlights the limitations of the traditional risk weighting approach, which only works for certain asset classes.

The book teaches readers how to accurately assess the costs of defensive strategies and identify the ones that provide the most effective protection against market downturns. It also demonstrates how to achieve a more balanced return stream by targeting volatility rather than a constant notional exposure and gaining a deeper understanding of concepts like portfolio rebalancing. Strategic Risk Management: Designing Portfolios and Managing Risk is an invaluable resource for individuals working in the asset management industry and financial policy makers. It will also find a place in the libraries of economics and finance scholars.

Weight: 560g
Dimension: 160 x 237 x 23 (mm)
ISBN-13: 9781119773917