This multi-contributor volume includes detailed analysis into the increasingly important areas of currency overlay and FX modelling - providing you with a range of practical solutions to common problems that have proved their worth time and again. it includes contributions from leading fund managers, overlay companies and investment/asset managers, including many of the most respected players in the field. It advises on the pros and cons of implementing a programme internally vs. outsourcing to a currency manager and additionally covers, currency risk and hedging, active vs. passive hedging, determining the hedge ratio, the design and implementation of a trading strategy, trading models and model building and testing.
| ISBN | 1904339182 | | DEWEY edition | DC21 | | ISBN13 | 9781904339182
(What's this?) | | Pages | 350 | | Publisher | Risk Books | | Published in | London | | Imprint | Risk Books | | Height (mm) | 235 | | Format | Hardback | | Width (mm) | 155 | | Publication date | 24 Dec 2003 | | Academic level | Professional / Scholarly | | DEWEY | 332.042 | |
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CONTENTS; PART 1 - Introduction to FX Markets and Modelling; CHAPTER 1 - Market History and Structure - Neil Record (Record Currency Management); CHAPTER 2 - The Electronic Revolution in Foreign Exchange - James van der Heule (Citigroup); CHAPTER 3 - Risks and Rewards - Jessica James (Citigroup); CHAPTER 4 - Where Overlay Comes In - Arun Muraldihar (FX Concepts, Inc.); CHAPTER 5 - The Case for Currency Management - Brian Strange (JPMorgan Fleming Investment Management); PART 2 - Currency Risk and Hedging; CHAPTER 6 - FX Risk - Jessica James (Citigroup); CHAPTER 7 - Traditional Hedging Methods - Chris Attfield (PaR Asset Management LLP); CHAPTER 8 - Active vs Passive Hedging - Henrik H. Pedersen (CitiFX Risk Advisory Group); CHAPTER 9 - A Framework to Determine a Currency Hedge Ratio for an International Portfolio - Eric Busay (Fixed Income Unit CalPERS); PART 3 - Designing and Implementing a Trading Strategy; CHAPTER 10 - Trading for Profit - Jessica James (Citigroup); CHAPTER 11 - Trading Models - James Binny (ABN AMRO); CHAPTER 12 - Model building and testing - Gerben J. de Zwart (Robeco Quantitative Research); CHAPTER 13 - Practical Strategy Implementation - Ron Liesching (Pareto); PART 4 - Case Studies; CHAPTER 14 - A Case Study on Bringing FX Prime Brokerage to Currency Overlay - Philip Simotas (FX Concepts); CHAPTER 15 - Currency Risk vs Return in Global Bond Portfolios: A Policy, not a Benchmark Issue - Charles Dolan (Pareto)
"A must-read for asset-mangers, pension funds, hedge funds and corporates." Yves Perreard, Chairman of Perreard Partners Inv., Geneva "Written by professionals for fellow professionals who seek to turn theory into practice and actually perform." Peter Richmond, Trinity College "Dr James has an exceptional ability to zero in on the core problems facing managers and deliver pragmatic, workable and robust solutions that have proved their worth time and again." Mel Mayne, Managing Partner, PaR Asset Management LLP
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