Red-Blooded Risk

Klappentext "Aaron Brown combines his characteristic no-nonsense approach to risk management with the latest, cutting-edge research in behavioral finance. The result makes other books on risk look pale and anemic by comparison."-Dylan Evans, author of Risk Intelligence"I highly recommend these ruminations on the history, philosophy, and practice of risk management; on risk, money, and the social value of derivatives markets; and much else written by a prominent risk management practitioner. This unconventional book is not only a good read but is also a treasure trove of valuable insights into trading and markets."-Jim Gatheral, professor at Baruch College and author of The Volatility Surface"Aaron Brown is the dean of Wall Street risk managers, and the one I respect the most. He describes risk clearly and presents techniques for managing it. My disagreement is with the applicability of those techniques to extreme tail events. Aside from that he has been my principal recourse in the field owing to his acuity, depth, and clarity of exposition."-Nassim Nicholas Taleb, professor at the Polytechnic Institute of New York University and author of The Black Swan"Aaron Brown eloquently explains the history of money and risk, and predicts a future with an increasing role for financial derivatives. After decades of serious poker playing and front-line risk management, he has a unique perspective. His blood is considerably redder than mine, which is looking rather pink after reading this book. I'm not sure I've got the nerve to follow all of his advice, but then again I like quiche."-Paul Wilmott, mathematician and winner of thePeel sandcastle-building competition, August 2001"Aaron is a modern-day alchemist, able to transform complex and somewhat esoteric mathematical concepts into something easily understandable through the use of everydayexamples. He's a master of one of the most important skills required of any risk manager: the ability to communicate effectively. Red-Blooded Risk is uniquely written to appeal to both the novice and the professional."-Richard Apostolik, President and CEO, Global Association of Risk Professionals"An original and provocative introduction to risk by an experienced Wall Street manager. Entertaining and informative for beginners and professionals alike."-Edward O. Thorp, author of Beat the Dealer and Beat the Market Zusammenfassung An innovative guide that identifies what distinguishes the best financial risk takers from the restFrom 1987 to 1992, a small group of Wall Street quants invented an entirely new way of managing risk to maximize success: risk management for risk-takers. This is the secret that lets tiny quantitative edges create hedge fund billionaires, and defines the powerful modern global derivatives economy. The same practical techniques are still used today by risk-takers in finance as well as many other fields. Red-Blooded Risk examines this approach and offers valuable advice for the calculated risk-takers who need precise quantitative guidance that will help separate them from the rest of the pack.While most commentators say that the last financial crisis proved it's time to follow risk-minimizing techniques, they're wrong. The only way to succeed at anything is to manage true risk, which includes the chance of loss. Red-Blooded Risk presents specific, actionable strategies that will allow you to be a practical risk-taker in even the most dynamic markets. Contains a secret history of Wall Street, the parts all the other books leave out Includes an intellectually rigorous narrative addressing what it takes to really make it in any risky activity, on or off Wall Street Addresses essential issues ranging from the way you think about chance to economics, politics, finance, and life Written by Aaron Brown, one of the most calculated and successful risk takers in the world of finance, who was an active participant in the creation of mode...

Auteur

AARON BROWN is risk manager at AQR Capital Management and the author of The Poker Face of Wall Street (Wiley), selected one of the ten best books of 2006 by BusinessWeek, and A World of Chance with Reuven and Gabrielle Brenner. In his thirty-year Wall Street career, he has been a trader, portfolio manager, head of mortgage securities, and risk manager for institutions including Citigroup and Morgan Stanley. He also served a stint as a finance professor and was among the top poker players in the world during the 1970s and 1980s. He holds degrees in applied mathematics from Harvard and in finance and statistics from the University of Chicago.

Texte du rabat

An innovative guide that identifies what distinguishes the best financial risk takers from the rest From 1987 to 1992, a small group of Wall Street quants invented an entirely new way of managing risk to maximize success: risk management for risk-takers. This is the secret that lets tiny quantitative edges create hedge fund billionaires, and defines the powerful modern global derivatives economy. The same practical techniques are still used today by risk-takers in finance as well as many other fields. Red-Blooded Risk examines this approach and offers valuable advice for the calculated risk-takers who need precise quantitative guidance that will help separate them from the rest of the pack. While most commentators say that the last financial crisis proved it's time to follow risk-minimizing techniques, they're wrong. The only way to succeed at anything is to manage true risk, which includes the chance of loss. Red-Blooded Risk presents specific, actionable strategies that will allow you to be a practical risk-taker in even the most dynamic markets. Contains a secret history of Wall Street, the parts all the other books leave out Includes an intellectually rigorous narrative addressing what it takes to really make it in any risky activity, on or off Wall Street Addresses essential issues ranging from the way you think about chance to economics, politics, finance, and life Written by Aaron Brown, one of the most calculated and successful risk takers in the world of finance, who was an active participant in the creation of modern risk management and had a front-row seat to the last meltdown Written in an engaging but rigorous style, with no equations Contains illustrations and graphic narrative by renowned manga artist Eric Kim There are people who disapprove of every risk before the fact, but never stop anyone from doing anything dangerous because they want to take credit for any success. The recent financial crisis has swelled their ranks, but in learning how to break free of these people, you'll discover how taking on the right risk can open the door to the most profitable opportunities.

Contenu

Acknowledgments xi

Chapter 1 What This Book Is and Why You Should Read It 1

Risk, Danger, and Opportunity 2

Red- Blooded Risk Management 4

Risk and Life 7

Play and Money 9

Frequentism 11

Rationality 13

Bets 15

Exponentials and Culture 18

Payoff 20

Chapter 2 Red Blood and Blue Blood 23

Chapter 3 Pascal's Wager and the Seven Principles of Risk Management 29

Principle I: Risk Duality 32

Principle II: Valuable Boundary 33

Principle III: Risk Ignition 35

Principle IV: Money 38

Outside the VaR Boundary 40

Principle V: Evolution 45

Principle VI: Superposition 48

Principle VII: Game Theory 49

Chapter 4 The Secret History of Wall Street: 1654- 1982 57

Pascal and Fermat 58

Poker 61

Advantage Gamblers 62

Sports Betting 63

Quants to Wall Street 66

Finance People 68

Real Finance 69

Chapter 5 When Harry Met Kelly 73

Kelly 74

Harry 76

Commodity Futures 79

If Harry Knew Kelly 84

Investment Growth Theory 88

eRaider.com 92

MPT Out in the World 96

Chapter 6 Exponentials, Vampires, Zombies, and Tulips 101

Types of Growth 102

The Negative Side 10…