Description
Viva Books Hedge Fund Risk Fundamentals 2009 Edition by Richard Horwitz
In the hedge fund marketplace, nothing is more central than risk. Yet there remains no standard for analyzing and measuring risk within this highly secretive, largely unregulated field, leaving the thousands of hedge fundsâ€"and the tens of thousands of hedge fund investorsâ€"in dangerously dim light. The industry has not solved the "transparency" challengeâ€"communicating risk to investors without disclosing proprietary information.Hedge Fund Risk Fundamentalsis the first book to bring these issues to the forefront. With clarity, concision, and minimal math, Richard Horwitz lays out the key components and the cutting-edge processes in the field of hedge fund risk management today.Contents: Part One: The Components of Risk • Volatility •Risks in Hedge Funds versus Traditional Investments • The Distribution of Hedge Fund Returns • Value at Risk (VAR) • Diversification • The Power of Diversification • Systematic Biases • Overdiversification • Leverage • Financing Leverage • Unlevered Risk • What Is the Right Amount of Leverage? • Illiquidity • Planning in Case of Crisis • The Size Factor • Elements in an Escape Plan • The Cost of Illiquid Redemption Policies • Part Two: Market Risk Management • Measuring Risk • Sell-Side Heritage • Normal Market Behavior • Crisis Market Behavior • Understanding the Source of Risk • Slicing and Dicing or Bucketing • Index-Based Benchmarks • Value at Risk (VaR) • Risk-Factor Framework • Marginal Risk Measures • Risk Visualization and Articulation • Comparative Statistics • Risk Visualization Techniques • Communicating Risk in "Hedge-Speak" • Risk Culture • Integrating Risk Management into All Hedge Fund Processes • Style Drift versus Nimbleness • Personality Risks • Part Three: Other Risk Processes • Non-Market Risk Management • Systems and Procedures • Organizational Issues • Disciplined Processes • Constructing a Fund • Value Creation Levers • Shorting • Illiquid Securities• Leverage • Convexity • Nimbleness • Establishing a Basis in which to View the Construction • Balancing Risk and Return • Performance Attribution • Assessing Primary Sources of Returns • Other Factors in Performance Attribution • Risk Budgeting • Risk Budgeting Self-Assessment • Definition of Risk Budgeting • Formal Risk Budgeting • How Formal Should Your Risk Management Be? • Part Four: Risk from the Investor's Viewpoint • NAV/Return Reporting • Lack of Documentation • Inefficiencies • Incomplete Reporting • Lack of Precision • Misleading Measures • Masking Risk • Dressing Up Returns • Constructing a Portfolio of Funds • Integrating Asset Allocation, Manager Selection, and Portfolio Construction • Risk Due Diligence • Analyzing Previous Portfolios • Determining Transparency and Risk Culture • Transparency • Changing Investor Requirements • The Political Environment • The Pros and Cons of Position Disclosure • Current Practices • Part Five: The Solution • Industry Standard Solution • Reporting Standardsâ€"A Common Language • The Case for Standardization • The Risk Fundamentals® Solution • Overview of the Service • Interpreting Risk Management ReportingAbout the Author:Richard Horwitz is managing director of manager assessment and risk management of Merrill Lynch's Hedge Fund Development and Management Group (HFDMG).Target audience:Professionals in the share market, students of management.