Market risk management for hedge funds: foundations of the style and implicit value-at-risks
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Chichester [u.a.]
Wiley
2008
|
| Series: | Wiley finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Physical Description: | XVI, 250 S. graph. Darst. |
| ISBN: | 0470722991 9780470722992 |
Staff View
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| adam_text | Contents
Acknowledgements xv
1 Introduction 1
PART I FUNDAMENTALS FOR STYLE AND IMPLICIT
VALUE-AT-RISK 7
2 Ongoing Institutionalization 9
2.1 Hedge Fund Industry Size and Asset Flows 11
2.2 Style Distribution 13
2.3 2006-2007 Structural Developments 14
2.3.1 Geography, Listing, Independent Arbitrators
and Back Office 14
2.3.2 Pricing and Side Pockets 15
2.4 Are Hedge Funds Becoming Decent? 17
2.4.1 Improved Market Efficiency 17
2.4.2 Transfer of Risk 19
2.4.3 Liquidity Suppliers 20
2.4.4 Captive Capital? 21
2.4.5 The Black Sheep of Capitalism? 22
2.5 Funds of Hedge Funds Persistence 23
2.5.1 Conditional Persistence 24
2.5.2 Interquartile Spreads 28
3 Heterogeneity of Hedge Funds 31
3.1 Testing Sample 32
3.2 Smoothing Effect of a Restrictive Classification 33
Contents
3.3 Heterogeneity Revealed through Modern Cluster
Analysis 36
3.3.1 Modern Cluster Analysis Measures of a
Classification 37
3.3.2 Empirical Comparison 39
3.3.3 Consequence For Value-at-Risk 40
3.4 Appendix A: Indices Sample 41
4 Active and Passive Hedge Fund Indices 45
4.1 Illusions Fostered by Active Hedge Fund Indices 48
4.1.1 The Illusion of Achieving Purity 48
4.1.2 The Illusion of Representativeness 49
4.1.3 The Illusion of Optimality 54
4.2 Passive Indices and the Illusion of being Clones 56
4.2.1 Mechanical Replication 56
4.2.2 Exposure Replication 59
4.2.3 Replication of Distributions 63
4.3 Conclusion 64
5 The Four Dimensions of Risk Management for
Hedge Funds 69
5.1 Operational and Structural risk 71
5.1.1 Sources of Structural Risk 72
5.2 Risk Control 75
5.3 Delegation Risk 75
5.3.1 Market Risk 75
5.3.2 Risk Controls 76
5.4 Direct Investment Risk 78
5.4.1 Underlying Approach 79
5.4.2 Strategy Risk Approach 81
5.4.3 Overlapping Approaches 83
5.5 Conclusion 84
5.6 Appendix B: Risks Embedded with Some Classical
Alternative Strategies 85
5.6.1 Pure Short Selling 85
5.6.2 Long/Short Equity 86
5.6.3 Convertible Arbitrage 88
5.6.4 Fixed Income Arbitrage 89
5.6.5 Risk Arbitrage 90
Contents
5.7 Appendix C: Other Common Hedge Funds Risks 92
5.7.1 Leverage Risk 92
5.7.2 Liquidity Risk 92
5.7.3 Counter-Party Risk 93
5.7.4 Specific Event Risk 93
PART II STYLE VALUE-AT-RISK 97
6 The Original Style VaR Revisited 99
6.1 The Multi-Index Model 100
6.1.1 The Sharpe (1988) Model 100
6.1.2 Application to Hedge Funds 101
6.1.3 Hedge Funds Indices as Risk Factors 102
6.2 The Style Value-at-Risk 103
6.2.1 The Value-at-Risk Model 103
6.2.2 Original Backtesting 104
6.3 Backtesting Revisited 105
6.3.1 Fundamentals of an Updated B acktesting 105
6.3.2 Updated Exception Rate 109
6.3.3 Sources of Risk Underestimation 112
7 The New Style Model 119
7.1 Extreme Value Theory 120
7.1.1 The Generalized Pareto Distribution 120
7.1.2 Parameter Estimation 122
7.1.3 Method Selection 125
7.1.4 Extreme Quantiles to Value the Risk 127
7.1.5 Assessing the Risk of Hedge Funds 128
7.1.6 Dealing with Autocorrelation 131
7.2 Risk Consolidation 136
7.2.1 Hybrid EVT Approach 137
7.2.2 Tail Dependence 138
7.2.3 Location Parameters 142
7.2.4 Extreme Value-at-Idiosyncratic-Risk 145
7.3 The New Style Model 145
7.3.1 The Model 145
7.3.2 Backtesting 147
7.4 Appendix D: Algorithms for the Elemental Percentile
Method 150
7.5 Appendix E: Copulas 151
Contents
8 Annualization Problem 155
8.1 Annualization of the Main Statistical Indicators
Assuming i.i.d. 157
8.1.1 Annualization of the Mean 157
8.1.2 Annualization of Volatility 158
8.1.3 Annualization of Skewness 158
8.1.4 Annualization of the Kurtosis Coefficient 159
8.1.5 Annualization of Coefficients above the Fourth
Order of Magnitude 160
8.1.6 Application to Finance 160
8.2 Annualization of Value-at-Risk Assuming i.i.d. 161
8.2.1 Annualization of Normal Value-at-Risk 162
8.2.2 Annualization of Value-at-Risk for Leptokurtic
Distributions 164
8.2.3 Annualization of Cornish-Fisher
Value-at-Risk 167
8.2.4 Annualization of Value-at-Risk Based on
Historical Percentiles 169
8.3 Annualization Without Assuming i.i.d. 171
8.3.1 Annualization of Extreme Value Theory
Value-at-Risk 171
8.3.2 Annualization of GARCH Value-at-Risk 172
8.4 Applications to the Style Value-at-Risk 174
8.5 Appendix F: Annualization of Excess Kurtosis 176
8.6 Appendix G: Drost and Nijman Theorem 177
PART III IMPLICIT VALUE-AT-RISK 179
9 The Best Choice Implicit Value-at-Risk 181
9.1 Alternative Style Analysis and BCI Model 182
9.2 Theoretical Framework of BCIM 186
9.2.1 Implicit Factors 187
9.2.2 Coefficient of Determination and Independent
Variables 190
9.2.3 Automatic Selection of the Best Choice
Implicit Model 192
9.3 Best Choice Implicit VaR 193
9.4 Empirical Tests 195
9.4.1 Quality of the BCI Model 196
Contents xiii
9.4.2 Backtesting 197
9.4.3 Steadiness 198
10 BCI Model and Hedge Fund Clones 199
10.1 The Ten-Factor Model 199
10.2 The Non-Linear Model 202
11 Risk Budgeting 207
11.1 Value-at-Risk of a Multi-Managers Portfolio 208
11.1.1 Style Model 208
11.1.2 Best Choice Implicit Model 210
11.2 Risk Decomposition: Before and After Attribution 211
11.3 Risk Decomposition: Closed form Attribution 212
11.3.1 New Style Attribution 213
11.3.2 BCIM Attribution 213
12 Value-at-Risk Monitoring 215
12.1 Analysing Graveyards and Hedge Funds Demise 215
12.2 The Probit Model 216
12.3 Empirical Evidence 218
12.3.1 Return and Volatility 218
12.3.2 Value-at-Risk 220
12.4 Implications for Portfolio Management 221
13 Beyond Value-at-Risk 223
13.1 2007-2008 Liquidity Crisis and Hedge Funds 224
13.2 Mechanical Stress Test 225
13.3 Liquidity-Adjusted Value-at-Risk 226
13.3.1 Non-Myopic Risk Measures 227
13.3.2 Liquidity Adjustment Based on
Replication 229
13.4 Limit of Liquidity-Adjusted Value-at-Risk and
Liquidity Scenario 230
Bibliography 233
Index 239
|
| adam_txt |
Contents
Acknowledgements xv
1 Introduction 1
PART I FUNDAMENTALS FOR STYLE AND IMPLICIT
VALUE-AT-RISK 7
2 Ongoing Institutionalization 9
2.1 Hedge Fund Industry Size and Asset Flows 11
2.2 Style Distribution 13
2.3 2006-2007 Structural Developments 14
2.3.1 Geography, Listing, Independent Arbitrators
and Back Office 14
2.3.2 Pricing and Side Pockets 15
2.4 Are Hedge Funds Becoming Decent? 17
2.4.1 Improved Market Efficiency 17
2.4.2 Transfer of Risk 19
2.4.3 Liquidity Suppliers 20
2.4.4 Captive Capital? 21
2.4.5 The Black Sheep of Capitalism? 22
2.5 Funds of Hedge Funds Persistence 23
2.5.1 Conditional Persistence 24
2.5.2 Interquartile Spreads 28
3 Heterogeneity of Hedge Funds 31
3.1 Testing Sample 32
3.2 Smoothing Effect of a Restrictive Classification 33
Contents
3.3 Heterogeneity Revealed through Modern Cluster
Analysis 36
3.3.1 Modern Cluster Analysis Measures of a
Classification 37
3.3.2 Empirical Comparison 39
3.3.3 Consequence For Value-at-Risk 40
3.4 Appendix A: Indices Sample 41
4 Active and Passive Hedge Fund Indices 45
4.1 Illusions Fostered by Active Hedge Fund Indices 48
4.1.1 The Illusion of Achieving Purity 48
4.1.2 The Illusion of Representativeness 49
4.1.3 The Illusion of Optimality 54
4.2 Passive Indices and the Illusion of being Clones 56
4.2.1 Mechanical Replication 56
4.2.2 Exposure Replication 59
4.2.3 Replication of Distributions 63
4.3 Conclusion 64
5 The Four Dimensions of Risk Management for
Hedge Funds 69
5.1 Operational and Structural risk 71
5.1.1 Sources of Structural Risk 72
5.2 Risk Control 75
5.3 Delegation Risk 75
5.3.1 Market Risk 75
5.3.2 Risk Controls 76
5.4 Direct Investment Risk 78
5.4.1 Underlying Approach 79
5.4.2 Strategy Risk Approach 81
5.4.3 Overlapping Approaches 83
5.5 Conclusion 84
5.6 Appendix B: Risks Embedded with Some Classical
Alternative Strategies 85
5.6.1 Pure Short Selling 85
5.6.2 Long/Short Equity 86
5.6.3 Convertible Arbitrage 88
5.6.4 Fixed Income Arbitrage 89
5.6.5 Risk Arbitrage 90
Contents
5.7 Appendix C: Other Common Hedge Funds Risks 92
5.7.1 Leverage Risk 92
5.7.2 Liquidity Risk 92
5.7.3 Counter-Party Risk 93
5.7.4 Specific Event Risk 93
PART II STYLE VALUE-AT-RISK 97
6 The Original Style VaR Revisited 99
6.1 The Multi-Index Model 100
6.1.1 The Sharpe (1988) Model 100
6.1.2 Application to Hedge Funds 101
6.1.3 Hedge Funds Indices as Risk Factors 102
6.2 The Style Value-at-Risk 103
6.2.1 The Value-at-Risk Model 103
6.2.2 Original Backtesting 104
6.3 Backtesting Revisited 105
6.3.1 Fundamentals of an Updated B acktesting 105
6.3.2 Updated Exception Rate 109
6.3.3 Sources of Risk Underestimation 112
7 The New Style Model 119
7.1 Extreme Value Theory 120
7.1.1 The Generalized Pareto Distribution 120
7.1.2 Parameter Estimation 122
7.1.3 Method Selection 125
7.1.4 Extreme Quantiles to Value the Risk 127
7.1.5 Assessing the Risk of Hedge Funds 128
7.1.6 Dealing with Autocorrelation 131
7.2 Risk Consolidation 136
7.2.1 Hybrid EVT Approach 137
7.2.2 Tail Dependence 138
7.2.3 Location Parameters 142
7.2.4 Extreme Value-at-Idiosyncratic-Risk 145
7.3 The New Style Model 145
7.3.1 The Model 145
7.3.2 Backtesting 147
7.4 Appendix D: Algorithms for the Elemental Percentile
Method 150
7.5 Appendix E: Copulas 151
Contents
8 Annualization Problem 155
8.1 Annualization of the Main Statistical Indicators
Assuming i.i.d. 157
8.1.1 Annualization of the Mean 157
8.1.2 Annualization of Volatility 158
8.1.3 Annualization of Skewness 158
8.1.4 Annualization of the Kurtosis Coefficient 159
8.1.5 Annualization of Coefficients above the Fourth
Order of Magnitude 160
8.1.6 Application to Finance 160
8.2 Annualization of Value-at-Risk Assuming i.i.d. 161
8.2.1 Annualization of Normal Value-at-Risk 162
8.2.2 Annualization of Value-at-Risk for Leptokurtic
Distributions 164
8.2.3 Annualization of Cornish-Fisher
Value-at-Risk 167
8.2.4 Annualization of Value-at-Risk Based on
Historical Percentiles 169
8.3 Annualization Without Assuming i.i.d. 171
8.3.1 Annualization of Extreme Value Theory
Value-at-Risk 171
8.3.2 Annualization of GARCH Value-at-Risk 172
8.4 Applications to the Style Value-at-Risk 174
8.5 Appendix F: Annualization of Excess Kurtosis 176
8.6 Appendix G: Drost and Nijman Theorem 177
PART III IMPLICIT VALUE-AT-RISK 179
9 The Best Choice Implicit Value-at-Risk 181
9.1 Alternative Style Analysis and BCI Model 182
9.2 Theoretical Framework of BCIM 186
9.2.1 Implicit Factors 187
9.2.2 Coefficient of Determination and Independent
Variables 190
9.2.3 Automatic Selection of the Best Choice
Implicit Model 192
9.3 Best Choice Implicit VaR 193
9.4 Empirical Tests 195
9.4.1 Quality of the BCI Model 196
Contents xiii
9.4.2 Backtesting 197
9.4.3 Steadiness 198
10 BCI Model and Hedge Fund Clones 199
10.1 The Ten-Factor Model 199
10.2 The Non-Linear Model 202
11 Risk Budgeting 207
11.1 Value-at-Risk of a Multi-Managers Portfolio 208
11.1.1 Style Model 208
11.1.2 Best Choice Implicit Model 210
11.2 Risk Decomposition: 'Before and After' Attribution 211
11.3 Risk Decomposition: Closed form Attribution 212
11.3.1 New Style Attribution 213
11.3.2 BCIM Attribution 213
12 Value-at-Risk Monitoring 215
12.1 Analysing Graveyards and Hedge Funds Demise 215
12.2 The Probit Model 216
12.3 Empirical Evidence 218
12.3.1 Return and Volatility 218
12.3.2 Value-at-Risk 220
12.4 Implications for Portfolio Management 221
13 Beyond Value-at-Risk 223
13.1 2007-2008 Liquidity Crisis and Hedge Funds 224
13.2 Mechanical Stress Test 225
13.3 Liquidity-Adjusted Value-at-Risk 226
13.3.1 Non-Myopic Risk Measures 227
13.3.2 Liquidity Adjustment Based on
Replication 229
13.4 Limit of Liquidity-Adjusted Value-at-Risk and
Liquidity Scenario 230
Bibliography 233
Index 239 |
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| id | DE-604.BV035095990 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:12:16Z |
| indexdate | 2024-07-09T21:22:06Z |
| institution | BVB |
| isbn | 0470722991 9780470722992 |
| language | English |
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| series2 | Wiley finance |
| spelling | Duc, François Verfasser aut Market risk management for hedge funds foundations of the style and implicit value-at-risks François Duc and Yann Schorderet Chichester [u.a.] Wiley 2008 XVI, 250 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance Hedge funds Risk management Hedge funds / Evaluation Investment analysis / Mathematical models Mathematisches Modell Hedge funds Evaluation Investment analysis Mathematical models Risikomanagement (DE-588)4121590-4 gnd rswk-swf Hedge Fund (DE-588)4444016-9 gnd rswk-swf Hedge Fund (DE-588)4444016-9 s Risikomanagement (DE-588)4121590-4 s DE-604 Schorderet, Yann Sonstige oth http://www.gbv.de/dms/zbw/574815244.pdf lizenzfrei Inhaltsverzeichnis HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016764043&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Duc, François Market risk management for hedge funds foundations of the style and implicit value-at-risks Hedge funds Risk management Hedge funds / Evaluation Investment analysis / Mathematical models Mathematisches Modell Hedge funds Evaluation Investment analysis Mathematical models Risikomanagement (DE-588)4121590-4 gnd Hedge Fund (DE-588)4444016-9 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4444016-9 |
| title | Market risk management for hedge funds foundations of the style and implicit value-at-risks |
| title_auth | Market risk management for hedge funds foundations of the style and implicit value-at-risks |
| title_exact_search | Market risk management for hedge funds foundations of the style and implicit value-at-risks |
| title_exact_search_txtP | Market risk management for hedge funds foundations of the style and implicit value-at-risks |
| title_full | Market risk management for hedge funds foundations of the style and implicit value-at-risks François Duc and Yann Schorderet |
| title_fullStr | Market risk management for hedge funds foundations of the style and implicit value-at-risks François Duc and Yann Schorderet |
| title_full_unstemmed | Market risk management for hedge funds foundations of the style and implicit value-at-risks François Duc and Yann Schorderet |
| title_short | Market risk management for hedge funds |
| title_sort | market risk management for hedge funds foundations of the style and implicit value at risks |
| title_sub | foundations of the style and implicit value-at-risks |
| topic | Hedge funds Risk management Hedge funds / Evaluation Investment analysis / Mathematical models Mathematisches Modell Hedge funds Evaluation Investment analysis Mathematical models Risikomanagement (DE-588)4121590-4 gnd Hedge Fund (DE-588)4444016-9 gnd |
| topic_facet | Hedge funds Risk management Hedge funds / Evaluation Investment analysis / Mathematical models Mathematisches Modell Hedge funds Evaluation Investment analysis Mathematical models Risikomanagement Hedge Fund |
| url | http://www.gbv.de/dms/zbw/574815244.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016764043&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT ducfrancois marketriskmanagementforhedgefundsfoundationsofthestyleandimplicitvalueatrisks AT schorderetyann marketriskmanagementforhedgefundsfoundationsofthestyleandimplicitvalueatrisks |
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