Investment Risk Management

 

Lecture Videos

YouTube Lectures

Other resources

EDHEC on Madoff
Markopolos on Madoff
Fung-Hsieh – HF Primer
SEC – Manhattan Fund
Moody’s – CFO rating
Lancer – Financial crimes
EDHEC on Operational Risk
Credit Suisse – Alpha
Kestin-Jaeger Benefits of HF
AIMA HF DDQ
AIMA on Offshoring

Library

Other books that complete the topics covered in class, and go more in-depth in the materials we discussed. 

Taleb, N. N. (1997). Dynamic hedging: Managing vanilla and exotic options. New York: Wiley.

A classic by Quant Skeptic number 1, Nassim Taleb

Taleb, N. (2005). Fooled by randomness: The hidden role of chance in life and in the markets. New York: Random House Trade Paperbacks.

Another treaty on skepticism

Hedge funds : quantitative insights /
François-Serge L’habitant. John Wiley, ©2004

 

 

Hedge funds : myths and limits /
François-Serge L’habitant. Wiley

 

 

Hedge funds [electronic resource] : structure, strategies, and performance /
[edited by] H. Kent Baker and Greg Filbeck

A compilation of papers, it shows the topics that interest investors when it comes to hedge funds. Many of the topics are still relevant today. The focus is very investment centric, and shows the quantitative analyst that there are many topics of interest which are not quantitative at all.

 

Taleb, N. N. (2007). The black swan: The impact of the highly improbable.

Pop culture meets risk management. This book, a prophecy of the financial crisis of 2008, brought Nassim Taleb to the main stream media as a risk visionary.

NewsRoom

Credit Suisse takes $4.7 billion hit from Archegos hedge fund scandal; execs step down

Credit Suisse announced several high-level staff departures and proposed a cut to its dividend as it weighs heavy losses from the Archegos Capital saga.

The Swiss lender now expects a first-quarter pre-tax loss of around 900 million Swiss francs ($960.4 million), after taking a charge of 4.4 billion Swiss francs as a result of the scandal.

 

Read

 

Melvin Capital, hedge fund targeted by Reddit board, closes out of GameStop short position

CNBC could not confirm the amount of losses the firm took on the short position. Citadel and Point72 have infused close to $3 billion into Melvin Capital to shore up its finances.

 

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Bernie Madoff

Bernard Lawrence Madoff (April 29, 1938 – April 14, 2021) was an American fraudster and financier who was the mastermind of the largest Ponzi scheme in history

 

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