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

Get Market Risk Management for Hedge Funds: Foundations of the Style and Implicit Value-at-Risk now with O’Reilly online learning.

O’Reilly members experience live online training, plus books, videos, and digital content from 200+ publishers.