Managing hedge fund risk : from the seat of the practitioner : views from investors, counterparties, hedge funds and consultants

This Book Addresses Key Hedge Fund Risk Management Issues With Rigor. It Is A Highly Accessible Primer On Hedge Fund Risk Illustrated With Practical Examples. It Analyses Recent Developments In Risk Management Research, And Provides Quality Information For Risk Managers Within Different Types Of Investment Structures. The Book Provides Quality Information For Risk Managers Within Different Types Of Investment Structures, Such As Investment Banks, Funds Of Funds, Family Offices, Asset Management Firms, Pension Funds, Endowments And Foundations, And Consultancies. Introduction: Virginia Reynolds Parker And Randolf G. Warsager --- Part I: Perspectives From The Investors -- 1. Risk Management: A Practical Approach To Managing A Portfolio Of Hedge Funds For A Large Investment Company / Norman Chait -- 2. Hedge Fund Risk Management For Institutions / Mark J.p. Anson -- 3. Risk Management Issues For The Family Office / Luc Estenne -- 4. Fund Of Funds: Risk Management Issues For Endowments And Foundations / William P. Miller -- 5. Fund Of Funds: Risk: Defining It, Measuring It And Managing It / Robert A. Jaeger -- 6. The Critical Path To Effective Hedge Fund Risk Management: Control, Transparency And Risk Performance Measurement / Virginia Reynolds Parker --- Part Ii: Perspectives From The Counterparties -- 7. From A Dealer's Perspective / Irenee Dup. May, Jr. -- 8. Risk Management Of Hedge Funds / Susan Webb -- 9. From The Practitioner's Perspective As A Prime Broker / Graham Rowlands -- 10. Operational Risk / Marcelo Cruz And Jonathan Davies ---^ Part Iii: Perspectives From The Hedge Fund Managers -- 11. Risk Management For The Asset Management Firm / D. Sykes Wilford, Erik Norland And José M. Quintana -- 12. Sound Practices For Hedge Funds / Tanya Styblo Beder -- 13. Risk Management For Hedge Fund Strategies / Mike Boren -- 14. Risk Management For Hedge Fund Strategies: Us Equity Market Neutral / Jane Tisdale -- 15. Long/short Japanese Equities / Alex Balfour And Alastair Macgregor -- 16. The Risk In Risk Arbitrage / John Paulson -- 17. Convertible Arbitrage / Michael J. Boyd, Jr And John Michael Pagli, Jr. -- 18. Mortgage Strategies / Eric Keiter -- 19. Risk Management For A Distressed Securities Portfolio / Marti P. Murray -- 20. Short Selling: A Unique Set Of Risks / A.r. Arulpragasm And James S. Chanos -- 21. Risk Management For Hedge Fund Strategies -- Foreign Exchange / A. Paul Chappell --- Part Iv: Perspectives From The Consultants --^ 22. Incorporating Hedge Fund Risk Into The Design Parameters Of A Traditional Investment Programme / Mary Ann Johnson -- 23. Risk Management For Hedge Funds And Ctas: Var Versus Span Margin / George Martin And Sam Y. Chung -- 24. Enterprise Risk Management For Hedge Funds: An Applied Perspective / Murray Nash And Andy Lee --- Appendix: Sound Practices For Hedge Fund Managers -- Findings On Disclosure For Institutional Investors In Hedge Funds -- What Is The Optimal Portfolio Risk Measurement? A Review Of Value-at-risk / Sam Y. Chung -- The Risk Of Hedge Funds / Alexander M. Ineichen. Edited By Virginia Reynolds Parker. Errata Slip Inserted. Includes Bibliographical References And Index Contents......Page 6 Authors......Page 10 Introduction......Page 22 PART I: PERSPECTIVES FROM THE INVESTORS......Page 40 1. Risk Management: A Practical Approach to Managing a Portfolio of Hedge Funds for a Large Insurance Company......Page 42 2. Hedge Fund Risk Management for Institutions......Page 58 3. Risk Management Issues for the Family Office......Page 78 4. Fund of Funds: Risk Management Issues for Endowments and Foundations......Page 88 5. Fund of Funds: Risk: Defining it, Measuring it and Managing it......Page 108 6. The Critical Path to Effective Hedge Fund Risk Management: Control, Transparency and Risk and Performance Measurement......Page 120 PART II: PERSPECTIVES FROM THE COUNTERPARTIES......Page 132 7. From a Dealer's Perspective......Page 134 8. A Structurer and Enhancer......Page 150 9. From the Practitioner's Perspective as a Prime Broker......Page 160 10. Operational Risk......Page 172 PART III: PERSPECTIVES FROM THE HEDGE FUND MANAGERS......Page 180 11. Risk Management for the Asset Management Firm......Page 182 12. Sound Practices for Hedge Funds......Page 194 13. Risk Management for Hedge Fund Strategies......Page 202 14. Risk Management for Hedge Fund Strategies: US Equity Market Neutral......Page 208 15. Long/Short Japanese Equities......Page 216 16. The "Risk" in Risk Arbitrage......Page 228 17. Convertible Arbitrage......Page 240 18. Mortgage Strategies......Page 254 19. Risk Management for a Distressed Securities Portfolio......Page 270 20. Short Selling: A Unique Set of Risks......Page 280 21. Risk Management for Hedge Fund Strategies – Foreign Exchange......Page 288 PART IV: PERSPECTIVES FROM THE CONSULTANTS......Page 298 22. Incorporating Hedge Fund Risk into the Design Parameters of a Traditional Investment Programme......Page 300 23. Risk Management for Hedge Funds and CTA's: VAR Versus SPAN Margin......Page 308 24. Enterprise Risk Management for Hedge Funds: An Applied Perspective......Page 318 Appendix......Page 336 Sound Practices for Hedge Fund Managers......Page 338 Findings on Disclosure for Institutional Investors in Hedge Funds......Page 400 What is the Optimal Portfolio Risk Measurement? A Review of Value-at-Risk......Page 404 The Risk of Hedge Funds......Page 416 C......Page 492 D......Page 493 F......Page 494 H......Page 495 J......Page 496 M......Page 497 N......Page 498 P......Page 499 R......Page 500 T......Page 501 Z......Page 502 An expansive volume which addresses key hedge fund risk management issues with rigor *A highly accessible primer on hedge fund risk illustrated with practical examples *Analyses recent developments in risk management research *Provides quality information for risk managers within different types of investment structures, eg, investment banks, funds of funds, family offices, asset management firms, pension funds, endowments and foundations, and consultancies *Contributions from leading practitioners with considerable expertise in their areas, drawn from, among others, AIG, Balfour Capital, Calpers, C-View, Evaluation Associates, Forest Investment Management, NetRisk and academia *Essential reading for investment bankers, allocators, dealers, counterparties, prime brokers, institutions, private investors, corporate plan sponsors and consultants