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

INDICE: Contents Acknowledgements 1 Introduction Part I Fundamentals for Style and Implicit Values-at-Risk 2 Ongoing Institutionalization 2.1 Hedge fundsindustry size and asset flows 2.2 Style distribution 2.3 2006-2007 structuraldevelopments 2.4 Are hedge funds becoming decent? 2.5 Funds of hedge funds persistence 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 3.4 Appendix A: Indices sample 4 Active and Passive Hedge FundIndices 4.1 Illusions fostered by active hedge fund indices 4.2 Passive indices and the illusion of being clones 4.3 Conclusion 5 The Four Dimensions of Risk Management for Hedge Funds 5.1 Operational and structural risk 5.2 Risk control 5.3 Delegation risk 5.4 Direct investment risk 5.5 Conclusion 5.6 Appendix B: Risks embedded with some classical alternative strategies 5.7 Appendix C:Other common risks to hedge funds Part II Style Value-at-Risk 6 The Original Style VaR Revisited 77 6.1 The Multi-Index Model 6.2 The Style Value-at-Risk 6.3 Backtesting revisited 7 The New Style Model 7.1 Extreme Value Theory 7.2 Risk consolidation 7.3 The New Style Model 7.4 Appendix D: Algorithms for the elemental percentile method 7.5 Appendix E: Copulas 8 Annualization Problem 8.1 Annualization of the main statistical indicators assuming i.i.d. 8.2 Annualization of Value-at-Risk assuming i.i.d. 8.3 Annualization without assuming i.i.d. 8.4 Applications to the Style Value-at-Risk 8.5 Appendix F: annualization ofexcess kurtosis 8.6 Appendix G: Drost and Nijman Theorem Part III Implicit Value-at-Risk 9 The Best Choice Implicit Value-at-Risk 9.1 Alternative style analysis and BCI Model 9.2 Theoretical framework of BCIM 9.3 Best Choice ImplicitVaR 9.4 Empirical Tests 10 BCI Model and Hedge Fund Clones 10.1 Ten-Factor Model 10.2 Non-Linear Model 11 Risk Budgeting 11.1 Value-at-Risk of a multi-managers portfolio 11.2 Risk decomposition: 'before and after' attribution 11.3 Risk decomposition: closed form attribution 12 Value-at-Risk Monitoring 12.1 Analyzing graveyards and hedge funds demise 12.2 The probit model 12.3 Empirical evidence 12.4 Implications for portfolio management 13 Beyond Value-at-Risk 13.1 20072008 liquidity crisis and hedge funds 13.2 Mechanical stress test 13.3 Liquidity-adjusted Value-at-Risk 13.4 Limit of liquidity-adjusted Value-at-Risk and liquidity scenario Bibliography Index

• ISBN: 978-0-470-72299-2
• Editorial: John Wiley & Sons
• Encuadernacion: Cartoné
• Páginas: 272
• Fecha Publicación: 03/10/2008
• Nº Volúmenes: 1
• Idioma: Inglés