{"product_id":"trading-risk-9780471650911","title":"Trading Risk","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eRevolutionary techniques that traders can implement to improve profits and avoid losses  \u003cp\u003eNo trader, professional or individual, can afford not to have a solid risk management program integrated into his or her trading system. But finding a precise mathematical model to replace subjective decision-making processes is a challenge. Traditionally, risk management has focused solely on loss avoidance, but in Trading Risk, hedge fund risk manager Kenneth Grant presents some-thing completely newhow to manage a portfolio to minimize risk and increase profits by putting more capital at risk. Trading Risk details a risk management program that can help both money managers and individual traders evaluate which elements in a portfolio are working efficiently and which aren't. By illustrating an extremely simple set of statistical and arithmetic tools this book can help readers enhance their performance in many financial markets.\u003c\/p\u003e \u003cp\u003eKenneth L.Grant is Cheyne's Global Risk Manager, and is the\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003c\/p\u003e\u003cp\u003ePreface ix\u003c\/p\u003e \u003cp\u003eAcknowledgments xiv\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 The Risk Management Investment 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Setting Performance Objectives 19\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eOptimal Target Return 21\u003c\/p\u003e \u003cp\u003eNominal Target Return 24\u003c\/p\u003e \u003cp\u003eStop-Out Level 26\u003c\/p\u003e \u003cp\u003eThe Beach 32\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Understanding the Profit\/Loss Patterns over Time 37\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAnd Now to Statistics, but First a Word (or More) about Time Series Construction 39\u003c\/p\u003e \u003cp\u003eTime Units 40\u003c\/p\u003e \u003cp\u003eTime Spans 43\u003c\/p\u003e \u003cp\u003eGraphical Representation of Daily P\/L 48\u003c\/p\u003e \u003cp\u003eHistogram of P\/L Observations 51\u003c\/p\u003e \u003cp\u003eStatistics 53\u003c\/p\u003e \u003cp\u003eA Tribute to Sir Isaac Newton 53\u003c\/p\u003e \u003cp\u003eAverage P\/L 56\u003c\/p\u003e \u003cp\u003eStandard Deviation 57\u003c\/p\u003e \u003cp\u003eSharpe Ratio 65\u003c\/p\u003e \u003cp\u003eMedian P\/L 68\u003c\/p\u003e \u003cp\u003ePercentage of Winning Days 68\u003c\/p\u003e \u003cp\u003ePerformance Ratio, Average P\/L, Winning Days versus Losing Days 69\u003c\/p\u003e \u003cp\u003eDrawdown 70\u003c\/p\u003e \u003cp\u003eCorrelations 73\u003c\/p\u003e \u003cp\u003ePutting It All Together 79\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 The Risk Components of an Individual Portfolio 81\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eHistorical Volatility 84\u003c\/p\u003e \u003cp\u003eOptions Implied Volatility 86\u003c\/p\u003e \u003cp\u003eCorrelation 90\u003c\/p\u003e \u003cp\u003eValue at Risk (VaR) 91\u003c\/p\u003e \u003cp\u003eJustification for VaR Calculations 92\u003c\/p\u003e \u003cp\u003eTypes of VaR Calculations 94\u003c\/p\u003e \u003cp\u003eTesting VaR Accuracy 98\u003c\/p\u003e \u003cp\u003eSetting VaR Parameters 99\u003c\/p\u003e \u003cp\u003eUse of VaR Calculation in Portfolio Management 102\u003c\/p\u003e \u003cp\u003eScenario Analysis 104\u003c\/p\u003e \u003cp\u003eTechnical Analysis 106\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Setting Appropriate Exposure Levels (Rule 1) 109\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDetermining the Appropriate Ranges of Exposure 110\u003c\/p\u003e \u003cp\u003eMethod 1: Inverted Sharpe Ratio 111\u003c\/p\u003e \u003cp\u003eMethod 2: Managing Volatility as a Percentage of Trading Capital 114\u003c\/p\u003e \u003cp\u003eDrawdowns and Netting Risk 129\u003c\/p\u003e \u003cp\u003eAsymmetric Payoff Function 130\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Adjusting Portfolio Exposure (Rule 2) 133\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSize of Individual Positions 134\u003c\/p\u003e \u003cp\u003eDirectional Bias 135\u003c\/p\u003e \u003cp\u003ePosition Level Volatility 141\u003c\/p\u003e \u003cp\u003eTime Horizon 142\u003c\/p\u003e \u003cp\u003eDiversification 144\u003c\/p\u003e \u003cp\u003eLeverage 146\u003c\/p\u003e \u003cp\u003eOptionality 148\u003c\/p\u003e \u003cp\u003eNonlinear Pricing Dynamics 149\u003c\/p\u003e \u003cp\u003eRelationship between Strike Price and Underlying Price (Moneyness) 149\u003c\/p\u003e \u003cp\u003eImplied Volatility 150\u003c\/p\u003e \u003cp\u003eAsymmetric Payoff Functions 150\u003c\/p\u003e \u003cp\u003eLeverage Characteristics 151\u003c\/p\u003e \u003cp\u003eSummary 154\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 The Risk Components of an Individual Trade 155\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eYour Transaction Performance 156\u003c\/p\u003e \u003cp\u003eKey Components of a Transactions-Level Database 157\u003c\/p\u003e \u003cp\u003eDefining a Transaction 158\u003c\/p\u003e \u003cp\u003ePosition Snapshot Statistics 160\u003c\/p\u003e \u003cp\u003eCore Transactions-Level Statistics 161\u003c\/p\u003e \u003cp\u003eTrade Level P\/L 162\u003c\/p\u003e \u003cp\u003eHolding Period 162\u003c\/p\u003e \u003cp\u003eAverage P\/L 163\u003c\/p\u003e \u003cp\u003eP\/L per Dollar Invested (Weighted Average P\/L) 164\u003c\/p\u003e \u003cp\u003eAverage Holding Period 164\u003c\/p\u003e \u003cp\u003eP\/L by Security (P\/L Attribution) 165\u003c\/p\u003e \u003cp\u003eLong Side P\/L versus Short Side P\/L 166\u003c\/p\u003e \u003cp\u003eCorrelation Analysis 168\u003c\/p\u003e \u003cp\u003eNumber of Daily Transactions 170\u003c\/p\u003e \u003cp\u003eCapital Invested 171\u003c\/p\u003e \u003cp\u003eNet Market Value (Raw) 172\u003c\/p\u003e \u003cp\u003eNet Market Value (Absolute Value) 173\u003c\/p\u003e \u003cp\u003eNumber of Positions 174\u003c\/p\u003e \u003cp\u003eHolding Periods 175\u003c\/p\u003e \u003cp\u003eVolatility\/VaR 177\u003c\/p\u003e \u003cp\u003eOther Correlations 179\u003c\/p\u003e \u003cp\u003eFinal Word on Correlation 179\u003c\/p\u003e \u003cp\u003ePerformance Success Metrics 184\u003c\/p\u003e \u003cp\u003eMethods for Improving Performance Ratios 189\u003c\/p\u003e \u003cp\u003ePerformance Ratio Components 190\u003c\/p\u003e \u003cp\u003eMaximizing Your P\/L 192\u003c\/p\u003e \u003cp\u003eProfitability Concentration (90\/10) Ratio 200\u003c\/p\u003e \u003cp\u003ePutting It All Together 208\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Bringin’ It on Home 213\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMake a Plan and Stick to It 214\u003c\/p\u003e \u003cp\u003eIf the Plan’s Not Working, Change the Plan 218\u003c\/p\u003e \u003cp\u003eSeek to Trade with an “Edge” 219\u003c\/p\u003e \u003cp\u003eStructural Inefficiencies 220\u003c\/p\u003e \u003cp\u003eMethodological Inefficiencies 223\u003c\/p\u003e \u003cp\u003ePlay Your P\/L 226\u003c\/p\u003e \u003cp\u003eAvoid Surprises—Especially to Yourself 234\u003c\/p\u003e \u003cp\u003eSeek to Maximize Your Performance at the Margin 236\u003c\/p\u003e \u003cp\u003eSeek Nonmonetary Benefits 237\u003c\/p\u003e \u003cp\u003eApply Liberal Doses of Humility and Humor 242\u003c\/p\u003e \u003cp\u003eBe Healthy\/Cultivate Other Interests 244\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix Optimal f and Risk of Ruin 245\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eOptimal f 246\u003c\/p\u003e \u003cp\u003eRisk of Ruin 250\u003c\/p\u003e \u003cp\u003eIndex 253\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default 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