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Best book on Risk Management
Posted: December 12th, 2011, 3:33 pm
by antoninvinet
Dear AllWhich book would you recommend if I want to learn about the risk management of a hedge fund portfolio? and more specifically for long/short equity strategy??Many thanksAn
Best book on Risk Management
Posted: December 25th, 2011, 7:05 pm
by tags
hi antonin. no one else has replied so far ...did you read the 3nd volume of Market Risk Analysis written by Carol Alexander ?besides, try a risk+management+hedge+fund google search. some papers returned are likely to be of interest.i'm sorry it's not panacea ...
Best book on Risk Management
Posted: January 8th, 2012, 2:46 pm
by antoninvinet
Up - Just in case someone has some suggestions... Thank you
Best book on Risk Management
Posted: January 9th, 2012, 9:54 am
by eh
I like "quantitative risk management" by McNeil, Frey and Embrechts.
Best book on Risk Management
Posted: January 11th, 2012, 8:53 pm
by radial
Here is a new book that you may be interested in, "Essential Mathematics for Market Risk Management" by Simon Hubbert. As its title suggests, it nicely explores the mathematics of market risk - not as advanced as McNeil, Frey and Embrechts; but the author spends a lot of time explaining concepts in a manageable way - its based upon the Risk Management course (MSc level) the author teaches at Birkbeck, University of London. It takes the reader on a journey from Portfolio theory, CAPM, Factor models, VaR, Stylized facts, a crash course on derivatives, nonlinear VaR, volatility modelling, numerical methods, backtesting -- mixed with lots of well explained maths and stats!
Best book on Risk Management
Posted: January 12th, 2012, 8:18 am
by WilmottBookshop
Essential Mathematics for Market Risk Management by Simon Hubbert (currently at 35% discount)
http://books.global-investor.com/books/ ... antitative Risk Management by Alexander J. McNeil;Rudiger Frey;Paul Embrechts;
http://books.global-investor.com/books/22278.htmMarket Risk Analysis: 4 Volume Set by Carol Alexanderhttp://books.global-investor.com/books/254468.htmFor all our Risk Management titles:
http://cats.global-investor.com/categor ... anagement/