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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 Wiley finance
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. MiAaHDL
digitized 2011 HathiTrust Digital Library committed to preserve pda MiAaHDL
Print version record
Subject Hedge funds -- Evaluation.
Hedge funds.
Investment analysis -- Mathematical models.
Risk management.
Form Electronic book
Author Schorderet, Yann.
ISBN 0470740795 (electronic bk.)
1119206243 (electronic bk.)
9780470740798 (electronic bk.)
9781119206248 (electronic bk.)