LEADER 05679nam 2200745Ia 450 001 9910139506203321 005 20200520144314.0 010 $a1-119-20624-3 010 $a1-282-68749-2 010 $a9786612687495 010 $a0-470-74079-5 035 $a(CKB)2550000000013075 035 $a(EBL)516968 035 $a(OCoLC)615626876 035 $a(SSID)ssj0000384218 035 $a(PQKBManifestationID)11296826 035 $a(PQKBTitleCode)TC0000384218 035 $a(PQKBWorkID)10338843 035 $a(PQKB)11322892 035 $a(Au-PeEL)EBL516968 035 $a(CaPaEBR)ebr10381010 035 $a(CaONFJC)MIL268749 035 $a(CaSebORM)9780470722992 035 $a(MiAaPQ)EBC516968 035 $a(EXLCZ)992550000000013075 100 $a20080908d2008 uy 0 101 0 $aeng 135 $aurunu||||| 181 $ctxt 182 $cc 183 $acr 200 10$aMarket risk management for hedge funds$b[electronic resource] $efoundations of the style and implicit value-at-risk /$fFranc?ois Duc and Yann Schorderet 205 $a1st edition 210 $aJohn Wiley & Sons $cChichester, West Sussex, England ; Hoboken, NJ$dc2008 215 $a1 online resource (268 p.) 225 1 $aThe Wiley Finance Series ;$vv.511 300 $aDescription based upon print version of record. 311 $a0-470-72299-1 320 $aIncludes bibliographical references and index. 327 $aMarket 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? 327 $a2.5 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 Representativeness 327 $a4.1.3 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 Conclusion 327 $a5.6 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-Risk 327 $a6.2.1 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 Parameters 327 $a7.2.4 Extreme Value-at-Idiosyncratic-Risk 330 $aThis book provides a cutting edge introduction to market risk management for Hedge Funds, Hedge Funds of Funds, and the numerous new indices and clones launching coming to market on a near daily basis. It will present the fundamentals of quantitative risk measures by analysing the range of Value-at-Risk (VaR) models used today, addressing the robustness of each model, and looking at new risk measures available to more effectively manage risk in a hedge fund portfolio.The book begins by analysing the current state of the hedge fund industry - at the ongoing institutionalisation of the mar 410 0$aWiley finance series. 606 $aHedge funds 606 $aRisk management 606 $aHedge funds$xEvaluation 606 $aInvestment analysis$xMathematical models 615 0$aHedge funds. 615 0$aRisk management. 615 0$aHedge funds$xEvaluation. 615 0$aInvestment analysis$xMathematical models. 676 $a332.64/524 700 $aDuc$b Franc?ois$0961931 701 $aSchorderet$b Yann$0961932 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910139506203321 996 $aMarket risk management for hedge funds$92180995 997 $aUNINA