Foundations of the Style and Implicit Value-at-Risk
E-Book, Englisch, 262 Seiten, E-Book
Reihe: Wiley Finance Series
ISBN: 978-0-470-74079-8
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)
The book begins by analysing the current state of the hedge fundindustry - at the ongoing institutionalisation of the market, andat its latest developments. It then moves on to examine therange of risks, risk controls, and risk management strategiescurrently employed by practitioners, and focuses on particularrisks embedded in the more classic investment strategies such asLong/Short, Convertible Arbitrage, Fixed Income Arbitrage, Shortselling and risk arbitrage. Addressed along side these areother risks common to hedge funds, including liquidity risk,leverage risk and counterparty risk.
The book then moves on to examine more closely two models whichprovide the underpinning for market risk management in investmenttoday - Style Value-at-Risk and Implicit Value-at-Risk. Aswell as full quantitative analysis and backtesting of eachmethodology, the authors go on to propose a new style model forstyle and implicit Var, complete with analysis, real life examplesand backtesting. The authors then go on to discussannualisation issues and risk return before moving on to propose anew model based on the authors own Best Choice Implicit VaRapproach, incorporating quantitative analysis, market results andbacktesting and also its potential for new hedge fund cloneproducts.
This book is the only guide to VaR for Hedge Funds and willprove to be an invaluable resource as we embark into an era ofincreasing volatility and uncertainty.
Autoren/Hrsg.
Weitere Infos & Material
Contents
Acknowledgements
1 Introduction
Part I Fundamentals for Style and ImplicitValues-at-Risk
2 Ongoing Institutionalization
2.1 Hedge funds industry size and asset flows
2.2 Style distribution
2.3 2006-2007 structural developments
2.4 Are hedge funds becoming decent?
2.5 Funds of hedge funds persistence
3 Heterogeneity of Hedge Funds
3.1 Testing sample
3.2 Smoothing effect of a restrictive classification
3.3 Heterogeneity revealed through Modern Cluster Analysis
3.4 Appendix A: Indices sample
4 Active and Passive Hedge Fund Indices
4.1 Illusions fostered by active hedge fund indices
4.2 Passive indices and the illusion of being clones
4.3 Conclusion
5 The Four Dimensions of Risk Management for HedgeFunds
5.1 Operational and structural risk
5.2 Risk control
5.3 Delegation risk
5.4 Direct investment risk
5.5 Conclusion
5.6 Appendix B: Risks embedded with some classical alternativestrategies
5.7 Appendix C: Other common risks to hedge funds
Part II Style Value-at-Risk
6 The Original Style VaR Revisited 77
6.1 The Multi-Index Model
6.2 The Style Value-at-Risk
6.3 Backtesting revisited
7 The New Style Model
7.1 Extreme Value Theory
7.2 Risk consolidation
7.3 The New Style Model
7.4 Appendix D: Algorithms for the elemental percentilemethod
7.5 Appendix E: Copulas
8 Annualization Problem
8.1 Annualization of the main statistical indicators assumingi.i.d.
8.2 Annualization of Value-at-Risk assuming i.i.d.
8.3 Annualization without assuming i.i.d.
8.4 Applications to the Style Value-at-Risk
8.5 Appendix F: annualization of excess kurtosis
8.6 Appendix G: Drost and Nijman Theorem
Part III Implicit Value-at-Risk
9 The Best Choice Implicit Value-at-Risk
9.1 Alternative style analysis and BCI Model
9.2 Theoretical framework of BCIM
9.3 Best Choice Implicit VaR
9.4 Empirical Tests
10 BCI Model and Hedge Fund Clones
10.1 Ten-Factor Model
10.2 Non-Linear Model
11 Risk Budgeting
11.1 Value-at-Risk of a multi-managers portfolio
11.2 Risk decomposition: 'before and after' attribution
11.3 Risk decomposition: closed form attribution
12 Value-at-Risk Monitoring
12.1 Analyzing graveyards and hedge funds demise
12.2 The probit model
12.3 Empirical evidence
12.4 Implications for portfolio management
13 Beyond Value-at-Risk
13.1 2007-2008 liquidity crisis and hedge funds
13.2 Mechanical stress test
13.3 Liquidity-adjusted Value-at-Risk
13.4 Limit of liquidity-adjusted Value-at-Risk and liquidityscenario
Bibliography
Index