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Record Nr. |
UNINA9910813603203321 |
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Autore |
Duc Francois |
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Titolo |
Market risk management for hedge funds : foundations of the style and implicit value-at-risk / / Francois Duc and Yann Schorderet |
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Pubbl/distr/stampa |
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John Wiley & Sons, : Chichester, West Sussex, England ; Hoboken, NJ, c2008 |
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ISBN |
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1-119-20624-3 |
1-282-68749-2 |
9786612687495 |
0-470-74079-5 |
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Edizione |
[1st edition] |
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Descrizione fisica |
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1 online resource (268 p.) |
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Collana |
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The Wiley Finance Series ; ; v.511 |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Hedge funds |
Risk management |
Hedge funds - Evaluation |
Investment analysis - Mathematical models |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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Market Risk Management for Hedge Funds; Contents; Acknowledgements; 1 Introduction; PART I FUNDAMENTALS FOR STYLE AND IMPLICIT VALUE-AT-RISK; 2 Ongoing Institutionalization; 2.1 Hedge Fund Industry Size and Asset Flows; 2.2 Style Distribution; 2.3 2006-2007 Structural Developments; 2.3.1 Geography, Listing, Independent Arbitrators and Back Office; 2.3.2 Pricing and Side Pockets; 2.4 Are Hedge Funds Becoming Decent?; 2.4.1 Improved Market Efficiency; 2.4.2 Transfer of Risk; 2.4.3 Liquidity Suppliers; 2.4.4 Captive Capital?; 2.4.5 The Black Sheep of Capitalism? |
2.5 Funds of Hedge Funds Persistence 2.5.1 Conditional Persistence; 2.5.2 Interquartile Spreads; 3 Heterogeneity of Hedge Funds; 3.1 Testing Sample; 3.2 Smoothing Effect of a Restrictive Classification; 3.3 Heterogeneity Revealed through Modern Cluster Analysis; 3.3.1 Modern Cluster Analysis Measures of a Classification; 3.3.2 Empirical Comparison; 3.3.3 Consequence For Value-at-Risk; 3.4 Appendix A: Indices Sample; 4 Active and Passive Hedge Fund Indices; 4.1 Illusions |
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