The Resource Market risk management for hedge funds : foundations of the style and implicit value-at-risk, François Duc and Yann Schorderet

Market risk management for hedge funds : foundations of the style and implicit value-at-risk, François Duc and Yann Schorderet

Label
Market risk management for hedge funds : foundations of the style and implicit value-at-risk
Title
Market risk management for hedge funds
Title remainder
foundations of the style and implicit value-at-risk
Statement of responsibility
François Duc and Yann Schorderet
Creator
Contributor
Subject
Language
eng
Summary
This book provides a cutting edge introduction to market risk management for Hedge Funds, Hedge Funds of Funds, and the numerous new indices and clones launching coming to market on a near daily basis. It will present the fundamentals of quantitative risk measures by analysing the range of Value-at-Risk (VaR) models used today, addressing the robustness of each model, and looking at new risk measures available to more effectively manage risk in a hedge fund portfolio. The book begins by analysing the current state of the hedge fund industry - at the ongoing institutionalisation of the market
Member of
Action
digitized
Cataloging source
N$T
Dewey number
332.64/524
Index
index present
LC call number
HG4530
LC item number
.D83 2008eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
Wiley finance
Label
Market risk management for hedge funds : foundations of the style and implicit value-at-risk, François Duc and Yann Schorderet
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references (pages 233-238) and index
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Introduction -- Ongoing institutionalization -- Heterogeneity of hedge funds -- Active and passive hedge fund indices -- The four dimensions of risk management for hedge funds -- The original style VaR revisited -- The new style model -- Annualization -- The best choice implicit value-at-risk -- BCI model and hedge fund clones -- Risk budgeting -- Value-at-risk monitoring -- Beyond value-at-risk
Control code
ocn615626876
Dimensions
unknown
Extent
1 online resource (xvi, 250 pages)
File format
unknown
Form of item
online
Isbn
9781119206248
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
http://library.link/vocab/ext/overdrive/overdriveId
cl0500000135
Quality assurance targets
not applicable
http://library.link/vocab/recordID
.b35893059
Reformatting quality
unknown
Reproduction note
Electronic reproduction.
Sound
unknown sound
Specific material designation
remote
System control number
  • (OCoLC)615626876
  • pebcs0470740795
System details
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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