Market Risk Management for Hedge Funds
Foundations of the Style and Implicit Value-at-Risk
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Beschreibung
This book provides a cutting edge introduction to market riskmanagement for Hedge Funds, Hedge Funds of Funds, and the numerousnew indices and clones launching coming to market on a near dailybasis. It will present the fundamentals of quantitative riskmeasures by analysing the range of Value-at-Risk (VaR) modelsused today, addressing the robustness of each model, and looking atnew risk measures available to more effectively manage risk in ahedge fund portfolio.
The book begins by analysing the current state of the hedge fundindustry - at the ongoing institutionalisation of the market, andat its latest developments. It then moves on to examine therange of risks, risk controls, and risk management strategiescurrently employed by practitioners, and focuses on particularrisks embedded in the more classic investment strategies such asLong/Short, Convertible Arbitrage, Fixed Income Arbitrage, Shortselling and risk arbitrage. Addressed along side these areother risks common to hedge funds, including liquidity risk,leverage risk and counterparty risk.
The book then moves on to examine more closely two models whichprovide the underpinning for market risk management in investmenttoday - Style Value-at-Risk and Implicit Value-at-Risk. Aswell as full quantitative analysis and backtesting of eachmethodology, the authors go on to propose a new style model forstyle and implicit Var, complete with analysis, real life examplesand backtesting. The authors then go on to discussannualisation issues and risk return before moving on to propose anew model based on the authors own Best Choice Implicit VaRapproach, incorporating quantitative analysis, market results andbacktesting and also its potential for new hedge fund cloneproducts.
This book is the only guide to VaR for Hedge Funds and willprove to be an invaluable resource as we embark into an era ofincreasing volatility and uncertainty.
Autor*in
Francois Duc
Themen in »Market Risk Management for Hedge Funds«
Finance & Investments Financial Engineering Finanz- u. Anlagewesen Finanztechnik