Chapter 28


Threat or Opportunity for the Funds of Hedge Funds Industry?

Serge Darolles and Mathieu Vaissié, Université Paris-Dauphine, DRM-Finance, Paris, France, Research Associate, EDHEC-Risk Institute, Senior Portfolio Manager, Lyxor Asset Management Tours Société Générale, Paris, France.

Chapter Outline

28.1 Introduction

28.2 FoHFs and Solvency II

28.3 Fine-Tuning Solvency II Standard Formula

28.4 An Application to FoHFs



28.1 Introduction

The world financial system has recently been experiencing a series of crises as bad as any since the great depression of 1929. Systemic risk issues have thus resurfaced for the first time since the Russian debt crisis and the collapse of LTCM (Long-Term Capital Management), ...

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