Market risk management for hedge funds : foundations of the style and implicit value-at-risk /

Mostrar otras versiones (1)

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-...

Descripción completa

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Duc, François
Otros Autores: Schorderet, Yann
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Chichester, England ; Hoboken, NJ : Wiley, ©2008.
Colección:Wiley finance series.
Temas:
Hedge funds.
Risk management.
Hedge funds > Evaluation.
Investment analysis > Mathematical models.
Risk Management
Fonds spéculatifs.
Gestion du risque.
Fonds spéculatifs > Évaluation.
Analyse financière > Modèles mathématiques.
risk management.
BUSINESS & ECONOMICS > Investments & Securities > Futures.
Hedge funds
Investment analysis > Mathematical models
Risk management
Hedge Fund
Risikomanagement
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • 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.

Ejemplares similares