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Tail Risk Hedging: Theory and Practice

Edited By Andrew Rozanov and Ryan McRandal


Tail Risk Hedging: Theory and Practice is essential reading for investors who want to improve their understanding of this investment strategy and its role and place in institutional portfolios in order to choose successful asset allocation, portfolio construction and hedging strategies.

Scheduled publication date: 2 Jun 2014

Availability: Available for Pre-order. Book will be dispatched as soon as it’s available.



£145.00 Save £21.75


Book description

Since the global financial crisis, investors have been faced with the difficult question of how to generate returns in a more uncertain and volatile environment while controlling the potential downside. Traditional risk control methods such as diversification have been shown to have limits and as a result tail risk hedging has emerged as one possible answer, with several investment managers reporting the tail risk hedging business to be their fastest area of asset growth in the wake of the crisis.

This is the first ever edited volume on tail risk hedging, which can serve as a primer and an authoritative guide for institutional investors.  Edited by leading experts in the area Andrew Rozanov and Ryan McRandal, based at Permal and AXA respectively, the book brings together a representative cross-section of views from practitioners who are active in the space.  Chapters include:

-    An Introduction to Tail Risk Hedging
-    Strategic Tail Risk Management: a Pension Fund’s Perspective
-    An Asset Allocator’s Approach to Tail Risk Hedging
-    A Systematic Approach to Tail Risk Hedging

Book details

Publish date
2 Jun 2014
155mm x 235mm

Editor biography

Andrew Rozanov and Ryan McRandal

Andrew Rozanov is Managing Director and Head of Institutional Portfolio Advisory at Permal Group, responsible for advising sovereign wealth funds and other long-term institutional investors on various aspects of asset allocation, portfolio construction, risk management and alternative investments, with a particular focus on global macro and tail risk strategies.

Before joining Permal, Andrew was at State Street, where he was Managing Director and Head of Sovereign Advisory, working closely with the Portfolio and Risk Management Group. Prior to that, he held various roles at State Street Corporation in London and Tokyo, and he also worked at UBS Investment Bank in Japan. Andrew is well known in the industry for having introduced the term ‘sovereign wealth funds’ in an article in Central Banking Journal in 2005. In 2012, he published a highly acclaimed book Global Macro: Theory and Practice. He is a Chartered Financial Analyst (CFA), a Financial Risk Manager (FRM), and a Chartered Alternative Investment Analyst (CAIA). He holds a Master’s equivalent degree in Asian and African Studies from Moscow State University.

Ryan McRandal is the Head of Thematic Portfolio Management at AXA Investment Managers. His focus is on creating customized solutions and building thematic portfolios for institutional clients, particularly in areas such as macro convexity and hedging across equity and interest rate exposures. Ryan launched and managed the first institutional fund of tail hedging strategies in the world, the award winning AXA Alternative Tail Hedge fund. Ryan is also responsible for hedge fund allocation as well as private equity, impact investing and real estate solutions and oversight.

Prior to joining AXA IM, he worked for four years as the Head of Research at Unifortune Asset Management, a multi-year award-winning hedge fund boutique. Prior to that role, he was a derivatives trader. At Swiss Re Capital Markets, London, he held a Vice President position on a fixed income treasury and trading desk. He has also been a derivatives trader at WestLB in London. At WestLB he was part of the Cross Market Derivatives Arbitrage Group and has multi-assetclass derivatives expertise having traded across interest rates, foreign exchange and emerging market credit derivatives. Ryan graduated with a first-class honours degree in International Securities, Investment and Banking from the ICMA Centre’s specialist business school for financial markets, University of Reading.

Table of contents

An Introduction to Tail Risk Hedging
Andrew Rozanov, Permal Group and Ryan McRandal, AXA IM

An Investment Consultant’s Perspective
David Zanutto, Mercer

Strategic Tail Risk Management: a Pension Fund’s Perspective
Chris Limbach, PGGM

An Asset Allocator’s Approach to Tail Risk Hedging
John Liu, Spartus Capital

Dealing with Wrong-Way Risk: a University Endowment’s Perspective
Mike Edleson, University of Chicago’s Office of Investments

A Multi-Strategy Approach to Tail Risk Hedging
Ryan McRandal, AXA Investment Managers

A Discretionary Approach to Tail Risk Hedging
Angel Serrat, Capula

Insuring Against Hidden Financial Catastrophe Risk
Vineer Bhansali and Josh Davis, PIMCO

Benchmarking Convexity: Towards a Holistic Approach
Anthony Limbrick and Siva Naguleswaran, 36 South

A Systematic Approach to Tail Risk Hedging
Sandy Rattray and Jean-Francois Bacmann, Man Group

Using Equity Volatility Strategies to Manage Tail Risk
Arie Aboulafia, Capstone

Tail Risk Hedging Using Convertibles
Paul Sansome, Ferox

Sourcing Convexity in Asian Markets
Andrew Wong

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