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"The Prayer": A 10-Step Checklist for Advanced Risk and Portfolio Management

Attilo Meucci, Kepos Capital, LP

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"The Prayer": A 10-Step Checklist for Advanced Risk and Portfolio Management

"The Prayer" is a recipe of 10 sequential steps for portfolio managers, risk managers, and 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 10 steps of the Prayer, we introduce all the key concepts with precise notation; illustrate the key concepts by means of a simple case study; discuss multiple advanced approaches to address the nontrivial practical problems of real-life risk modeling; and highlight a nonexhaustive list of common pitfalls.

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