Currency management : overlay and alpha trading
著者
書誌事項
Currency management : overlay and alpha trading
Risk Books , Citigroup, c2004
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
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.
目次
- 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)
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