| Description |
1 online resource (xvi, 250 pages) |
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data file rda |
| Series |
The Wiley Finance Series ; v.511 |
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Wiley finance series.
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| Bibliography |
Includes bibliographical references (pages 233-238) and index. |
| 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. |
| Access |
Use copy Restrictions unspecified star MiAaHDL |
| Reproduction |
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2011. MiAaHDL |
| System Details |
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 |
| Processing Action |
digitized 2011 HathiTrust Digital Library committed to preserve pda MiAaHDL |
| Subject |
Hedge funds.
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Risk management.
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Hedge funds -- Evaluation.
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Investment analysis -- Mathematical models.
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Risk Management |
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Fonds spéculatifs. |
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Gestion du risque. |
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Fonds spéculatifs -- Évaluation. |
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Analyse financière -- Modèles mathématiques. |
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risk management. |
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Hedge funds |
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Investment analysis -- Mathematical models |
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Risk management |
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Hedge Fund |
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Risikomanagement |
| Added Author |
Schorderet, Yann.
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| Other Form: |
Print version: Duc, François. Market risk management for hedge funds. Chichester, England ; Hoboken, NJ : Wiley, ©2008 9780470722992 (DLC) 2008039311 (OCoLC)247962924 |
| ISBN |
9781119206248 (electronic bk.) |
|
1119206243 (electronic bk.) |
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9780470740798 (electronic bk.) |
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0470740795 (electronic bk.) |
| Standard No. |
9780470722992 |
|
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