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

P1: JYS

ind JWBK337-Duc September 6, 2008 17:44 Printer: Yet to come

244 Index

hedge funds (Continued)

institutional investors 1, 4, 9–30,

45–6, 57, 59–60, 65, 66–7, 71,

78–9, 81

liquidity crisis (2007–2008) 224–5,

231

liquidity suppliers 20–1

multi-index model 100–17

new market structures 59

‘pasteurisation’ 28–9

pricing issues 14–17, 72–3

quality issues 67–8, 79–80, 106–7,

202–5

redemption restrictions 21–2

regulations 17–23

reputation problems 17–23

risk assessments 76–8, 85–92,

128–37, 155–78

risk budgeting 5, 30, 71, 76–8, 106–7,

119–54, 207–14

risk management 1–5, 19–23, 29–30,

60, 69–95, 99–100, 109, 114–17,

231

short-selling 17–23, 65, 77, 85–6,

94–5, 129–37

size of industry 11–13

statistics 10–14, 29–30, 32–3, 55

structural developments (2006–2007)

10, 14–17

time horizons 142–3, 155–78

turnover statistics 10–14, 29–30, 55

valuations 10–11, 14–17, 72–5

Value-at-Risk monitoring 5, 109–17,

197–8, 215–21

HedgeFundIntelligence 32, 42

HedgeFund.Net 42–3

Hennessee 42

heterogeneity of hedge funds 2–3, 4,

28–30, 31–43, 45–6, 52–3, 59,

61–2, 182–6

concepts 2–3, 4, 28–30, 31–43, 45–6,

52–3, 59, 61–2, 182–6

modern cluster analysis 36–41, 187

over-diversification problems 61–2,

65, 184–6, 228–9

smoothing effects of a restrictive

classification 33–8, 182–6

statistical implications 31–2

Style Value-at-Risk Model 40–1

testing sample 32–3, 39–40,

105–17

heteroscedasticity 172–4, 177–8

see also GARCH . . .

HFRI 42, 50–1, 53–4, 55–6, 64–5, 104

Hill estimator 122, 140–1

historical percentiles, annualization of

Value-at-Risk 169–71

historical Value-at-Risk 116–17,

169–71

homogeneity of hedge funds 11, 23–30,

33–6, 37–41

hostile takeover bids 58

HRFX 54

hybrid approaches 83–5, 137–8,

148–50

idiosyncratic risk,

Value-at-Idiosyncratic-Risk

103–17, 145, 147, 149–50, 195,

208, 209–14

i.i.d. see independently and identically

distributed . . .

implicit aspects, Style Value-at-Risk

Model 3, 83, 181–205

Implicit Value-at-Idiosyncratic-Risk,

definition 195, 211

Implicit Value-at-Risk Model

see also Best Choice . . .

concepts 3–4, 5, 30, 83, 181–205,

207–14, 226–31

risk budgeting 207–14

Implicit Value-at-Strategy-Risk,

definition 210–11

implied volatility 58–9

independent administration, fund

managers 14–15

independently and identically distributed

(i.i.d) returns 156, 157–78

indices of indices approaches 37

indices means, location parameters

142–5

information systems

see also structural risk

concepts 71–5

institutional investors

delegated index selections 65

hedge funds 1, 4, 9–30, 45–6, 57,

59–60, 65, 66–7, 71, 78–9, 81

types 11–12

insurers 155–6

inter-correlations, classifications 34–6

interest rates 77, 88–90, 200–3