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E-book
Author Duc, François.

Title Market risk management for hedge funds : foundations of the style and implicit value-at-risk / François Duc and Yann Schorderet
Published Chichester, England ; Hoboken, NJ : Wiley, ©2008

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Description 1 online resource (xvi, 250 pages)
Series The Wiley Finance Series ; v.511
Wiley finance series.
Contents Introduction -- Ongoing institutionalization -- Heterogeneity of hedge funds -- Active and passive hedge fund indices -- The four dimensions of risk management for hedge funds -- The original style VaR revisited -- The new style model -- Annualization -- The best choice implicit value-at-risk -- BCI model and hedge fund clones -- Risk budgeting -- Value-at-risk monitoring -- Beyond value-at-risk
Summary 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
Bibliography Includes bibliographical references (pages 233-238) and index
Notes Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL
Copyright © Wiley 2008
Print version record
digitized 2011 HathiTrust Digital Library committed to preserve pda MiAaHDL
Subject Hedge funds.
Risk management.
Hedge funds -- Evaluation
Investment analysis -- Mathematical models
Risk Management
risk management.
BUSINESS & ECONOMICS -- Investments & Securities -- Futures.
Hedge funds
Investment analysis -- Mathematical models
Risk management
Hedge Fund
Risikomanagement
Hedgefonder.
Riskhantering.
Hedgefonder -- utvärdering.
Investeringskalkyl -- matematiska modeller.
Form Electronic book
Author Schorderet, Yann.
ISBN 9781119206248
1119206243
9780470740798
0470740795