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Trading Risk: Enhanced Profitability Through Risk Control by Grant, Kenneth L.
by Grant, Kenneth L. | HC | VeryGood
US $51.38
ApproximatelyRM 216.68
Condition:
“May have limited writing in cover pages. Pages are unmarked. ~ ThriftBooks: Read More, Spend ”... Read moreabout condition
Very Good
A book that has been read but is in excellent condition. No obvious damage to the cover, with the dust jacket included for hard covers. No missing or damaged pages, no creases or tears, and no underlining/highlighting of text or writing in the margins. May be very minimal identifying marks on the inside cover. Very minimal wear and tear.
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Located in: Aurora, Illinois, United States
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eBay item number:146463954790
Item specifics
- Condition
- Very Good
- Seller Notes
- Binding
- Hardcover
- Weight
- 1 lbs
- Product Group
- Book
- IsTextBook
- Yes
- ISBN
- 9780471650911
About this product
Product Identifiers
Publisher
Wiley & Sons, Incorporated, John
ISBN-10
0471650919
ISBN-13
9780471650911
eBay Product ID (ePID)
30238134
Product Key Features
Book Title
Trading Risk : Enhanced Profitability Through Risk Control
Number of Pages
272 Pages
Language
English
Publication Year
2004
Topic
Finance / General, Decision-Making & Problem Solving
Illustrator
Yes
Genre
Business & Economics
Book Series
Wiley Trading Ser.
Format
Hardcover
Dimensions
Item Height
0.9 in
Item Weight
18.3 Oz
Item Length
9.4 in
Item Width
6.4 in
Additional Product Features
Intended Audience
Trade
LCCN
2004-302821
Dewey Edition
22
Series Volume Number
218
Dewey Decimal
332.6
Table Of Content
Preface ix Acknowledgments xiv Chapter 1 The Risk Management Investment 1 Chapter 2 Setting Performance Objectives 19 Optimal Target Return 21 Nominal Target Return 24 Stop-Out Level 26 The Beach 32 Chapter 3 Understanding the Profit/Loss Patterns over Time 37 And Now to Statistics, but First a Word (or More) about Time Series Construction 39 Time Units 40 Time Spans 43 Graphical Representation of Daily P/L 48 Histogram of P/L Observations 51 Statistics 53 A Tribute to Sir Isaac Newton 53 Average P/L 56 Standard Deviation 57 Sharpe Ratio 65 Median P/L 68 Percentage of Winning Days 68 Performance Ratio, Average P/L, Winning Days versus Losing Days 69 Drawdown 70 Correlations 73 Putting It All Together 79 Chapter 4 The Risk Components of an Individual Portfolio 81 Historical Volatility 84 Options Implied Volatility 86 Correlation 90 Value at Risk (VaR) 91 Justification for VaR Calculations 92 Types of VaR Calculations 94 Testing VaR Accuracy 98 Setting VaR Parameters 99 Use of VaR Calculation in Portfolio Management 102 Scenario Analysis 104 Technical Analysis 106 Chapter 5 Setting Appropriate Exposure Levels (Rule 1) 109 Determining the Appropriate Ranges of Exposure 110 Method 1: Inverted Sharpe Ratio 111 Method 2: Managing Volatility as a Percentage of Trading Capital 114 Drawdowns and Netting Risk 129 Asymmetric Payoff Function 130 Chapter 6 Adjusting Portfolio Exposure (Rule 2) 133 Size of Individual Positions 134 Directional Bias 135 Position Level Volatility 141 Time Horizon 142 Diversification 144 Leverage 146 Optionality 148 Nonlinear Pricing Dynamics 149 Relationship between Strike Price and Underlying Price (Moneyness) 149 Implied Volatility 150 Asymmetric Payoff Functions 150 Leverage Characteristics 151 Summary 154 Chapter 7 The Risk Components of an Individual Trade 155 Your Transaction Performance 156 Key Components of a Transactions-Level Database 157 Defining a Transaction 158 Position Snapshot Statistics 160 Core Transactions-Level Statistics 161 Trade Level P/L 162 Holding Period 162 Average P/L 163 P/L per Dollar Invested (Weighted Average P/L) 164 Average Holding Period 164 P/L by Security (P/L Attribution) 165 Long Side P/L versus Short Side P/L 166 Correlation Analysis 168 Number of Daily Transactions 170 Capital Invested 171 Net Market Value (Raw) 172 Net Market Value (Absolute Value) 173 Number of Positions 174 Holding Periods 175 Volatility/VaR 177 Other Correlations 179 Final Word on Correlation 179 Performance Success Metrics 184 Methods for Improving Performance Ratios 189 Performance Ratio Components 190 Maximizing Your P/L 192 Profitability Concentration (90/10) Ratio 200 Putting It All Together 208 Chapter 8 Bringin' It on Home 213 Make a Plan and Stick to It 214 If the Plan's Not Working, Change the Plan 218 Seek to Trade with an "Edge" 219 Structural Inefficiencies 220 Methodological Inefficiencies 223 Play Your P/L 226 Avoid Surprises--Especially to Yourself 234 Seek to Maximize Your Performance at the Margin 236 Seek Nonmonetary Benefits 237 Apply Liberal Doses of Humility and Humor 242 Be Healthy/Cultivate Other Interests 244 Appendix Optimal f and Risk of Ruin 245 Optimal f 246 Risk of Ruin 250 Index 253
Synopsis
Revolutionary techniques that traders can implement to improve profits and avoid losses No 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., A revolutionary system for fearless trading without excessive risk "Trading Risk provides a useful and intuitive roadmap of the risk management process, as written by an individual with unique experience and insight into this topic. It is an engaging read and covers complex subject matter in a straightforward and often-entertaining manner." - Stanley Shopkorn, Shopkorn Associates "Ken Grants eminently readable new book on risk management is a rare blend of theory and practical applications. It is a great starting point for the novice and deep enough for the experienced practitioner." - Mark R. Graham, Managing Partner, Blue Elite Fund, Ltd. "This book describes a very practical approach to risk management in a lucid and entertaining manner. Anyone concerned with the topic of risk management ought to find it of interest." - Susan Estes, Managing Director, Countrywide Securities "Thoughtful, unique, detailed, actually enjoyable, and comprehensible reading for what is normally a boring and confusing topic." - Dwight Anderson, President, Osprei Management, LP "A must-read for risk managers of companies of all sizes who want to preserve capital and take practical advantage of trends in the marketplace. This is a clearly written, funny, and entertaining guide to a very serious topic that affects all corporations. This very complex topic was simplified and made easy to understand by a true expert in the art of risk management." - Phupinder Gill, Managing Director & President Chicago Mercantile Exchange, Revolutionary techniques that traders can implement to improve profits and avoid losses No 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 new--how 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. Kenneth L.Grant is Cheyne's Global Risk Manager, and is the Managing Member for Cheyne Capital, LLC, the firm's U.S. arm. Mr. Grant is a pioneer in the field of hedge fund risk management and capital allocation. Before joining Cheyne, he created risk control programs at two of the world's leading hedge funds, Tudor Investments and SAC Capital, where he was eventually promoted to the title of Chief Investment Strategist. Mr. Grant holds a Bachelor of Science in Economics and Mathematics from the University of Wisconsin, an MA in Economics from Columbia University, and an MBA from the University of Chicago Graduate School of Business.
LC Classification Number
HG4529.5
Item description from the seller
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- g***e (1757)- Feedback left by buyer.Past monthVerified purchaseLike new!
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Seller feedback (5,687,513)
- g***e (1757)- Feedback left by buyer.Past monthVerified purchaseLike new!
- m***_ (47)- Feedback left by buyer.Past monthVerified purchaseItem arrived timely and in good condition. Thanks!
- t***i (374)- Feedback left by buyer.Past monthVerified purchaseItem as described