Risk Management For Hedge Funds : Introduction And Overview
- Topics:
- Enterprise Risk Management
- Tags:
- Finance,
- Financial Planning,
- Financial Services,
- Hedge Fund,
- Management,
- Risk Management,
- Security,
- Social Science Electronic Publishing Inc.,
- Strategy
FREE Registration is required
Overview: Although risk management has been a well-ploughed field in financial modeling for over two decades, traditional risk management tools such as mean-variance analysis, beta, and Value-at-Risk do not capture many of the risk exposures of hedge-fund investments. In this article, I review several aspects of risk management that are unique to hedge funds - survivorship bias, dynamic risk analytics, liquidity, and nonlinearities - and provide examples that illustrate their potential importance to hedge-fund managers and investors. I propose a research agenda for developing a new set of risk analytics specifically designed for hedge-fund investments, with the ultimate goal of creating risk transparency while, at the same time, protecting the proprietary nature of hedge-fund investment strategies.
(Is this item miscategorized? Does it need more tags? Let us know.)
Format: HTML | Date: Jan 2003 | Pages: 1
