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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]
©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. http://purl.oclc.org/DLF/benchrepro0212 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.)