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

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

by Richard Horwitz, Ramon Koss
July 2007
Beginner content levelBeginner
312 pages
7h 8m
English
Bloomberg Press
Content preview from Hedge Fund Risk Fundamentals: Solving the Risk Management and Transparency Challenge

Contents

Acknowledgments

Foreword

Preface

INTRODUCTION

Part One

The Components of Risk

1   VOLATILITY

Risks in Hedge Funds versus Traditional Investments

The Distribution of Hedge Fund Returns

Value at Risk (VaR)

2   DIVERSIFICATION

The Power of Diversification

Systematic Biases

Overdiversification

3   LEVERAGE

Financing Leverage

Borrowing Leverage

Notional Leverage

Unlevered Risk

Instrument Risk

Construction Leverage

What Is the Right Amount of Leverage?

4   ILLIQUIDITY

Planning in Case of Crisis

The Size Factor

Elements in an Escape Plan

The Cost of Illiquid Redemption Policies

Choosing among Alternatives

Calculating the Opportunity Cost of Illiquidity

Part Two

Market Risk Management

5   MEASURING RISK

Sell-Side Heritage

Normal Market Behavior ...

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Publisher Resources

ISBN: 9781576602577Purchase book