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Hedge Fund Risk Fundamentals: Solving the Risk Management and Transparency Challenge

by Richard Horwitz, Ramon Koss

July 2007

Beginner

312 pages

7h 8m

English

Bloomberg Press

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What Are Risk Fundamentals?The Risk Fundamentals ® Solution

Risks in Hedge Funds versus Traditional InvestmentsThe Distribution of Hedge Fund ReturnsValue at Risk (VaR)
The Power of DiversificationSystematic BiasesOverdiversification
Financing LeverageUnlevered RiskWhat Is the Right Amount of Leverage?
Planning in Case of CrisisThe Size FactorElements in an Escape PlanThe Cost of Illiquid Redemption Policies
Sell-Side HeritageNormal Market BehaviorCrisis Market Behavior
Slicing and Dicing or BucketingIndex-Based BenchmarksValue at Risk (VaR)Risk-Factor FrameworkMarginal Risk Measures
Comparative StatisticsRisk Visualization TechniquesCommunicating Risk in “Hedge-Speak”
Integrating Risk Management into All Hedge Fund ProcessesStyle Drift versus NimblenessPersonality Risks
Systems and ProceduresOrganizational IssuesDisciplined Processes
Value Creation LeversShortingIlliquid SecuritiesLeverageConvexityNimblenessEstablishing a Basis in which to View the ConstructionBalancing Risk and Return
Assessing Primary Sources of ReturnsOther Factors in Performance Attribution
Risk Budgeting Self-AssessmentDefinition of Risk BudgetingFormal Risk BudgetingHow Formal Should Your Risk Management Be?
Lack of DocumentationInefficienciesIncomplete ReportingLack of PrecisionMisleading MeasuresMasking RiskDressing Up Returns
Integrating Asset Allocation, Manager Selection, and Portfolio Construction
Analyzing Previous PortfoliosDetermining Transparency and Risk Culture
Changing Investor RequirementsThe Political EnvironmentThe Pros and Cons of Position DisclosureCurrent Practices
Reporting Standards—A Common LanguageThe Case for Standardization
Overview of the ServiceInterpreting Risk Management Reporting

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Market Risk Management for Hedge Funds: Foundations of the Style and Implicit Value-at-Risk

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The Liquidity Risk Management Guide: From Policy to Pitfalls

Publisher Resources

Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.