Market Risk Management for Hedge Funds provides a clear understanding of the fundamentals of quantitative risk measurement, as well as covering the technical aspects of the Style Value–at–Risk and the Implicit Value–at–Risk measurements applied to hedge funds. The book is divided into three parts. The first part explains the fundamentals of the Style and Implicit Value–at–Risk measurements as seen through the eyes of the alternative industry practitioner. It describes the effects of the ongoing institutionalisation of the hedge fund domain and examines one of the most important features of an absolute return industry. This section also addresses the issues of active and passive hedge fund indices, the failure of both approaches to provide a good representation of hedge funds, and finally provides a qualitative insight of the four dimensions of risk management for the hedge fund investor. Part two is devoted to Style Value–at–Risk measurement, presenting the original model as...
