Macro Risk Management

A Multi-Strategy Perspective
Erscheinungsjahr 2026
ISBN: 978-3-032-41332-1
Verlag: Springer

Buch, Englisch, Format (B × H): 155 mm x 235 mm

Reihe: Finance for Professionals

This book addresses a gap in the existing literature by bringing together the disciplines that underpin macro risk management, including macroeconomics, derivatives, quantitative methods, market microstructure, and the behavior of institutional market participants. While these subjects are well covered individually, only a few works examine how they interact in the practice of macro risk management. As macro multi-strategy hedge funds have grown in scale and importance, they have introduced risk management challenges distinct from those found in traditional investment strategies. Written by an industry leader with experience building and leading risk teams across some of the world's most prestigious hedge funds, this book provides an integrated framework for understanding and managing risk in modern macro investing.

Zielgruppe

Professional/practitioner

Autoren/Hrsg.

Bansal, Shivi S.

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Management
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Makroökonomie
• Interdisziplinäres Wissenschaften Wissenschaften: Forschung und Information Risikobewertung, Risikotheorie
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Wirtschaftstheorie, Wirtschaftsphilosophie

Inhaltsverzeichnis

Part I. Setting Up the Board.- Chapter 1. Defining Global Macro.- Chapter 2. Asset Classes, Instruments & Structures.- Chapter 3. Goals of Risk Management.- Part II. Rules of Engagement.- Chapter 4. Distributional Thinking.- Chapter 5. Governments and Fiscal Policy.- Chapter 6. Central Banks & Monetary Policy.- Chapter 7. Geographies & Geopolitics.- Part III. Evaluating the Position.- Chapter 8. Risk Representation: Linear Rates.- Chapter 9. Risk Representation: Options.- Chapter 10. Portfolio Volatility and Value at Risk.- Chapter 11. Performance Attribution.- Chapter 12. Scenario Analysis & Stress Testing.- Chapter 13. Tail Risk.- Chapter 14. Counterparty Risk.- Part IV. Styles of Play.- Chapter 15. Directional Macro.- Chapter 16. Short-Term Interest Rate Bets.- Chapter 17. Short Gamma & Short Volatility.- Chapter 18. Rates Volatility Surface Relative Value.- Chapter 19. FX Volatility Surfaces and Correlations.- Chapter 20. Equity Indices & Index Volatility.- Chapter 21. Commodities.- Chapter 22. Emerging Markets.- Chapter 23. Credit.- Chapter 24. Leveraged Carry & Fixed Income Relative Value.- Chapter 25. Historical Case Studies.- Part V. Executing the Game Plan.- Chapter 26. Designing a Risk Framework.- Chapter 27. Moving Capital.- Chapter 28. Behavioral Finance.- Chapter 29. Organizing for Risk.- Chapter 30. Taking the Seat.

Über Autor(innen)

Shivi S. Bansal is the Head of US Risk at a global macro fund and a leading authority in quantitative risk strategy. With a career spanning over two decades in high-stakes financial environments, Dr. Bansal previously served as the Director of Risk at Schonfeld and as a Senior Risk Strategist at Element Capital Management. Prior to his leadership roles on the buy-side, he headed the Linear Rates Quantitative Strategist team at Credit Suisse in New York. Dr. Bansal earned his Ph.D. in Mathematics from the University of Illinois Urbana-Champaign and holds a B.Tech. in Computer Science and Engineering from the Indian Institute of Technology, Kanpur.