Currency Management - Risk Books
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Currency Management

Edited By Jessica James


This fully up-to-date multi-contributor volume includes unrivalled 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.

Publish date: 2 Feb 2004

Availability: In stock

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Book - Currency Management

Book description

  • Gain expert insight into all aspects of currency and recognise the principles behind overlay management so that you can design and implement an effective strategy
  • Includes contributions from leading fund managers, overlay companies and investment/asset managers, including many of the most respected players in the field
  • Advises on the pros and cons of implementing a programme internally vs. outsourcing to a currency manager
  • 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

Book details

Book 9781904339182 / EBook 9781908823052
Publish date
2 Feb 2004
155mm x 235mm

Editor biography

Jessica James

Jessica James joined the Citibank FX Risk Advisory Group from Bank One, where she headed their Risk Advisory and Currency Overlay group in Europe. Her group was responsible for the design, marketing and maintenance of currency overlay strategies, and the provision of bespoke research to Bank clients, supporting internal marketing. At Citi, she is closely involved in both these areas, working with marketers and clients to uptier relationships. Jessica is well known for her research, with several books to her credit and a regular publication record in the financial press. Additionally, she teaches a number of financial mathematics courses and sits on the board of the Journal of Quantitative Finance, and the ICBI finance conference board. She has participated in several government Task Forces and is involved with the Institute of Physics as a member of their governing body and a member of their Industry and Business Board.

The major part of Jessica’s current research is in the FX area. Over the last few years she has been at the forefront of development of currency risk management models and overlay strategies, and has pioneered the use of Extreme Value Theory to manage the risk of large FX moves. Additionally, she has a wealth of experience in the practical process of setting up currency overlay as a business unit, including trading strategy testing, design and marketing. At Bank One, she was in charge of trading sheet design and strategy execution, and instigated and specified a continuous testing process to ensure that the strategies performed within the bounds of expectations.

In addition to her FX research, Jessica is known for her work on interest rates, having written an extensive work on modelling and valuation (Interest Rate Modelling, Wiley 2000). She has also published in the credit and risk management areas. Prior to her career in finance, Jessica lectured in physics at Trinity, Oxford, having completed her PhD in Theoretical Atomic and Nuclear Physics in 1994.

Table of 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-managers, pension funds, hedge funds and corporates.“

Yves Perréard, Chairman of Perréard 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.“

Mel Mayne, Managing Partner, PaR Asset Management LLP

Customer Reviews

Average customer reviews for Currency Management

Currency Management: Overlay and Alpha Trading

FX is an expanding trade in the retail market and university level coarse. These types of supplement writings offer building blocks towards competency in this sector.
Review by Anthony DeSpenza , 11/11/2013

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