Market risk management for hedge funds : foundations of the by Francois Duc, Yann Schorderet

By Francois Duc, Yann Schorderet

This e-book offers a leading edge creation to industry probability administration for Hedge cash, Hedge money of money, and the varied new indices and clones launching coming to industry on a close to day-by-day basis.  it is going to current the basics of quantitative danger measures by way of analysing the  variety of Value-at-Risk (VaR) versions used at the present time, addressing the robustness of every version, and looking out at new possibility measures to be had to extra successfully deal with probability in a hedge fund portfolio.
The e-book starts through analysing the present nation of the hedge fund - on the ongoing institutionalisation of the marketplace, and at its newest developments.  It then strikes directly to learn the diversity of dangers, probability controls, and chance administration recommendations at the moment hired by way of practitioners, and makes a speciality of specific hazards embedded within the extra vintage funding suggestions reminiscent of Long/Short, Convertible Arbitrage, mounted source of revenue Arbitrage, brief promoting and threat arbitrage.  Addressed in conjunction with those are different hazards universal to hedge money, together with liquidity possibility, leverage probability and counterparty danger.

The booklet then strikes directly to learn extra heavily versions which offer the underpinning for marketplace probability administration in funding this day - sort Value-at-Risk and Implicit Value-at-Risk.  in addition to complete quantitative research and backtesting of every technique, the authors move directly to suggest a brand new kind version for kind and implicit Var, whole with research, actual existence examples and backtesting.  The authors then pass directly to speak about annualisation matters and probability go back sooner than relocating directly to suggest a brand new version in accordance with the authors personal best option Implicit VaR procedure, incorporating quantitative research, industry effects and backtesting and in addition its capability for brand spanking new hedge fund clone products.

This book is the single advisor to VaR for Hedge cash and may turn out to be a useful source as we embark into an period of accelerating volatility and uncertainty.

 

Show description

Read Online or Download Market risk management for hedge funds : foundations of the style and implicit value-at-risks PDF

Best risk management books

A Short Guide to Reputation Risk (Short Guides to Risk)

There are all types of difficulties linked to acceptance probability. Many corporations locate that it does not healthy smartly inside of operational possibility; others fight to allocate accountability for it or to discover methods of reporting successfully. probably the most important challenge of all is that businesses frequently confuse attractiveness danger with popularity administration.

Policy Issues in Insurance Financial Management of Large-Scale Catastrophes (Policy Issues in Insurance)

###############################################################################################################################################################################################################################################################

The Italian Banking System: Impact of the Crisis and Future Perspectives

Why used to be the Italian Banking procedure extra resilient through the sub-prime hindrance and harder-hit within the sovereign challenge? Will their energy within the retail industry consequence as an asset or a legal responsibility for Italian banks sooner or later? This e-book deals an in-depth research of 1 of crucial european banking structures its makes an attempt to climate the obstacle.

FX Barrier Options: A Comprehensive Guide for Industry Quants

This publication is a quantitative quide to barrier concepts in FX environments.

Extra info for Market risk management for hedge funds : foundations of the style and implicit value-at-risks

Example text

Although it is impossible to conduct an in-depth survey covering all hedge fund positions, various partial analyses and examination of the portfolios of funds in 2006 reveal increasing similarity between hedge funds’ positions. 7 It fears that there is a systemic risk: that of massive redemption by hedge funds. However, this scenario of massive redemption at the worst possible moment is incompatible with the preservation measures taken by hedge fund managers in restricting liquidity. In other words, the deterioration in the liquidity conditions offered by hedge 6 Some hedge funds offer more favourable liquidity than the underlying portfolio.

In reality, arbitrage portfolio’s exposures are rarely perfectly hedged, for three reasons. 16 Moreover, some arbitrage strategies exploit opportunities where a market segment’s risk premium is relatively high compared with the premium available in another, similar segment. This type of comparative advantage can be used to set up a relative value position. Nevertheless, the exposure is not totally neutral, since the segments differ. Furthermore, other strategies under the arbitrage label are not aimed at maintaining a purely neutral exposure.

Surprisingly, while this is akin to a portfolio built up from allocations to hedge funds following different strategies, the funds of funds are often studied en bloc or with one classification per profile (low/medium/high). And yet, as early as 2000, 42% of funds of funds specialized in just a few strategies. While the hedge fund strategy classifications currently available contain inherent weaknesses, they are the only means of comparing the issues between funds of funds. 1 Conditional Persistence Statistically, long-term persistence can be tested by separating the seven years between 2000 and 2006 into two periods and separating the funds of funds sample into either two subgroups (50% constitutes by best performing hedge funds versus the rest), or four subgroups (4 quartiles).

Download PDF sample

Rated 4.73 of 5 – based on 26 votes