Risk Management for Hedge Funds: Introduction and Overview

Topics:
Commercial Lending
Tags:
Finance,
Financial Planning,
Financial Services,
Hedge Fund,
Management,
Risk Management,
Security,
Social Science Electronic Publishing Inc.,
Strategy
Source:
Social Science Electronic Publishing

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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. This article reviews 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. It proposes 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.

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Format: HTML & PDF | Size: 383KB | Date: Jun 2001 | Pages: 36

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