Market Risk Management for Hedge Funds: Foundations of the Style and Implicit Value-at-Risk (The Wiley Finance Series) - Hardcover

Über die Autorin bzw. den Autor

François Duc is head of the Risk Advisory Desk for alternative investments of UBP (Union Bancaire Privée), the second largest worldwide investor in hedge funds. Prior to joining UBP in October 2005, Francois was responsible for the quantitative analysis and risk management at Banque SYZ & Co. In addition, he has written articles in finance, statistics and general equilibrium theory for various publications and is co-editor of a book on a learning process. Francois did his PhD in Econometrics at Geneva University where he was Assistant Professor in Statistics.

Yann Schorderet works as a quantitative strategist at Banque Mirabaud & Cie. From June 2004 to June 2006, he was a member of both the Risk Advisory team and the Quantitative Team at UBP (Union Bancaire Privée). In 2003, he acted as a quantitative analyst in a start-up company specialised in funds of hedge funds. Prior to that, he was Assistant Professor in the Department of Econometrics of the University of Geneva and the Laboratoire d’Economie Appliquée. From 2001 to 2002, he carried out post-doctoral research at the University of California, San Diego. He holds a PhD in econometrics and statistics from the University of Geneva. Yann is a CFA charterholder.

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Market Risk Management for Hedge Funds provides a clear understanding of the fundamentals of quantitative risk measurement, as well as covering the technical aspects of the Style Value-at-Risk and the Implicit Value-at-Risk measurements applied to hedge funds.

The book is divided into three parts. The first part explains the fundamentals of the Style and Implicit Value-at-Risk measurements as seen through the eyes of the alternative industry practitioner. It describes the effects of the ongoing institutionalisation of the hedge fund domain and examines one of the most important features of an absolute return industry. This section also addresses the issues of active and passive hedge fund indices, the failure of both approaches to provide a good representation of hedge funds, and finally provides a qualitative insight of the four dimensions of risk management for the hedge fund investor.

Part two is devoted to Style Value-at-Risk measurement, presenting the original model as well as out-of-the-sample back-testing. It also proposes a new parameterisation of the Style Model, addresses the issue of the annualisation of risk measurement for hedge funds, and illustrates a fundamental difference between traditional and alternative investments.

Part three presents the Best Choice Implicit Model by addressing the limits of the Style analysis and introducing the Best Choice Implicit Value-at-Risk. It also addresses the issue of hedge fund return cloning within the Best Choice Implicit Model framework, and details the Risk Budgeting approach that can be used with these types of models. Finally, it examines the forecasting power of Value-at-Risk exception monitoring, and provides some adjustments to Value-at-Risk that are particularly relevant during financing crises.

Aus dem Klappentext

"This publication will quickly become a 'must-read' for both professionals and researchers who wish to have a clear and exhaustive view of the problems and techniques of risk management in hedge funds."

Noël Amenc, PhD, Professor of Finance, Director of the EDHEC Risk and Asset Management Research Centre, Director of Research and Development at EDHEC Business School.