"The Prayer" - Ten-Step Checklist for Advanced Risk and Portfolio Management
Garp Risk Professional

    Published On 16/02/2011
    Author Name : 
    Attilio Meucci
    Published Date: 
    Friday, Apr 1, 2011
    Last Update: 
    Tuesday, Mar 1, 2011

    We present "the Prayer", a recipe of ten sequential steps for all portfolio managers, risk managers, algorithmic traders across all asset classes and all investment horizons, to model and manage the P&L distribution of their positions. For each of the ten steps of the Prayer, we introduce all the key concepts with precise notation; we illustrate the key concepts by means of a simple case study that can be handled with analytical formulas; we point the readers toward multiple advanced approaches to address the non-trivial practical problems of real-life risk modeling; and we highlight a non-exhaustive list of common pitfalls