05679nam 2200745Ia 450 991013950620332120200520144314.01-119-20624-31-282-68749-297866126874950-470-74079-5(CKB)2550000000013075(EBL)516968(OCoLC)615626876(SSID)ssj0000384218(PQKBManifestationID)11296826(PQKBTitleCode)TC0000384218(PQKBWorkID)10338843(PQKB)11322892(Au-PeEL)EBL516968(CaPaEBR)ebr10381010(CaONFJC)MIL268749(CaSebORM)9780470722992(MiAaPQ)EBC516968(EXLCZ)99255000000001307520080908d2008 uy 0engurunu|||||txtccrMarket risk management for hedge funds[electronic resource] foundations of the style and implicit value-at-risk /François Duc and Yann Schorderet1st editionJohn Wiley & Sons Chichester, West Sussex, England ; Hoboken, NJc20081 online resource (268 p.)The Wiley Finance Series ;v.511Description based upon print version of record.0-470-72299-1 Includes bibliographical references and index.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 Fostered by Active Hedge Fund Indices; 4.1.1 The Illusion of Achieving Purity; 4.1.2 The Illusion of Representativeness4.1.3 The Illusion of Optimality 4.2 Passive Indices and the Illusion of being Clones; 4.2.1 Mechanical Replication; 4.2.2 Exposure Replication; 4.2.3 Replication of Distributions; 4.3 Conclusion; 5 The Four Dimensions of Risk Management for Hedge Funds; 5.1 Operational and Structural risk; 5.1.1 Sources of Structural Risk; 5.2 Risk Control; 5.3 Delegation Risk; 5.3.1 Market Risk; 5.3.2 Risk Controls; 5.4 Direct Investment Risk; 5.4.1 Underlying Approach; 5.4.2 Strategy Risk Approach; 5.4.3 Overlapping Approaches; 5.5 Conclusion5.6 Appendix B: Risks Embedded with Some Classical Alternative Strategies 5.6.1 Pure Short Selling; 5.6.2 Long/Short Equity; 5.6.3 Convertible Arbitrage; 5.6.4 Fixed Income Arbitrage; 5.6.5 Risk Arbitrage; 5.7 Appendix C: Other Common Hedge Funds Risks; 5.7.1 Leverage Risk; 5.7.2 Liquidity Risk; 5.7.3 Counter-Party Risk; 5.7.4 Specific Event Risk; PART II STYLE VALUE-AT-RISK; 6 The Original Style VaR Revisited; 6.1 The Multi-Index Model; 6.1.1 The Sharpe (1988) Model; 6.1.2 Application to Hedge Funds; 6.1.3 Hedge Funds Indices as Risk Factors; 6.2 The Style Value-at-Risk6.2.1 The Value-at-Risk Model 6.2.2 Original Backtesting; 6.3 Backtesting Revisited; 6.3.1 Fundamentals of an Updated Backtesting; 6.3.2 Updated Exception Rate; 6.3.3 Sources of Risk Underestimation; 7 The New Style Model; 7.1 Extreme Value Theory; 7.1.1 The Generalized Pareto Distribution; 7.1.2 Parameter Estimation; 7.1.3 Method Selection; 7.1.4 Extreme Quantiles to Value the Risk; 7.1.5 Assessing the Risk of Hedge Funds; 7.1.6 Dealing with Autocorrelation; 7.2 Risk Consolidation; 7.2.1 Hybrid EVT Approach; 7.2.2 Tail Dependence; 7.2.3 Location Parameters7.2.4 Extreme Value-at-Idiosyncratic-RiskThis 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 marWiley finance series.Hedge fundsRisk managementHedge fundsEvaluationInvestment analysisMathematical modelsHedge funds.Risk management.Hedge fundsEvaluation.Investment analysisMathematical models.332.64/524Duc François961931Schorderet Yann961932MiAaPQMiAaPQMiAaPQBOOK9910139506203321Market risk management for hedge funds2180995UNINA02473nam 22004693 450 991014856180332120230808200223.01-77090-902-8(CKB)3710000000921977(MiAaPQ)EBC4553220(Au-PeEL)EBL4553220(CaPaEBR)ebr11527270(OCoLC)947134268(EXLCZ)99371000000092197720210901d2016 uy 0engurcnu||||||||txtrdacontentcrdamediacrrdacarrierCup of Coffee A Photographic Tribute to Lesser Known Toronto Maple Leafs, 1978-99Montreal :ECW Press,2016.©2016.1 online resource (490 pages)1-77041-272-7 Intro -- Table of Contents -- Foreword by Wendel Clark -- Introduction by Graig Abel -- Players (in alphabetical order) -- About the Authors -- Copyright.A full-colour compendium of Toronto's “Brief Leafs" Over the past 100 years, close to 1,000 players have suited up for at least one game with the legendary Toronto Maple Leafs, and more than 250 did in the most turbulent era in club history, 1978–1999. In that time span, the Leafs made more than 300 trades, signed 20 free agents, and claimed eight players on waivers while almost 100 draft selections changed hands in addition to dozens of Toronto's own picks. Unlike NHLers elsewhere, the names of Toronto players aren't quickly forgotten by fans. A stint with the Leafs, no matter how short, carries a certain cachet; the names and sweater numbers, and the compelling stories behind them, live on as trivia talk for years. Featuring 256 players, Cup of Coffee tells those stories with full-colour action pictures shot by veteran Leafs photographer Graig Abel. Learn about these “Brief Leafs" — their backgrounds, statistics, and memorable tales — as detailed by veteran Leafs journalist Lance Hornby.Toronto Maple Leafs (Hockey team)Hockey playersToronto Maple Leafs (Hockey team).Hockey players.796.96264097135395Abel Graig1374986Hornby Lance1374987Clark Wendel1374988MiAaPQMiAaPQMiAaPQBOOK9910148561803321Cup of Coffee3408913UNINA