Get BookMarket Risk Management for Hedge Funds Foundations of the Style and Implicit Value-at-Risk

[Download PDF.Rque] Market Risk Management for Hedge Funds Foundations of the Style and Implicit Value-at-Risk

[Download PDF.Rque] Market Risk Management for Hedge Funds Foundations of the Style and Implicit Value-at-Risk

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Book Details :
Published on: 2008-12-08
Released on:
Original language: English

This book provides a cutting edge introduction to market risk management for Hedge Funds, Hedge Funds of Funds, and the numerous new indices and clones launching coming to market on a near daily basis.  It will present the fundamentals of quantitative risk measures by analysing the  range of Value-at-Risk (VaR) models used today, addressing the robustness of each model, and looking at new risk measures available to more effectively manage risk in a hedge fund portfolio. The book begins by analysing the current state of the hedge fund industry - at the ongoing institutionalisation of the market, and at its latest developments.  It then moves on to examine the range of risks, risk controls, and risk management strategies currently employed by practitioners, and focuses on particular risks embedded in the more classic investment strategies such as Long/Short, Convertible Arbitrage, Fixed Income Arbitrage, Short selling and risk arbitrage.  Addressed along side these are other risks common to hedge funds, including liquidity risk, leverage risk and counterparty risk. The book then moves on to examine more closely two models which provide the underpinning for market risk management in investment today - Style Value-at-Risk and Implicit Value-at-Risk.  As well as full quantitative analysis and backtesting of each methodology, the authors go on to propose a new style model for style and implicit Var, complete with analysis, real life examples and backtesting.  The authors then go on to discuss annualisation issues and risk return before moving on to propose a new model based on the authors own Best Choice Implicit VaR approach, incorporating quantitative analysis, market results and backtesting and also its potential for new hedge fund clone products. . Institute of Economic Research Kyoto University. For Advanced Economic Analysis. English; Professor Eckhard Platen - University of Technology Sydney Professor Eckhard Platen joined UTS in 1997 from ANU. He was a joint appointment between the School of Finance and Economics and the School of Mathematical Sciences ... Hedge fund - Wikipedia A hedge fund is an investment fund that pools capital from accredited individuals or institutional investors and invests in a variety of assets often with complex ... Resolve a DOI Name Type or paste a DOI name into the text box. Click Go. Your browser will take you to a Web page (URL) associated with that DOI name. Send questions or comments to doi ... Third Party Research Articles BarclayHedge Research this: Hedge Funds CTA Programs and Risk Third Party Research Articles Philosophical Notebook - Fooled by Randomness Opacity: What We Do Not See . A Philosophical Notebook by Nassim Nicholas Taleb. The mathematical version is here. Non philosophorum sed philosophiae historiae
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