Managing Hedge Fund Risk - Second Edition

Book description

• 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, e.g. 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

Book details

ISBN

9781904339403

Publish date

1 Jun 2005

Format

Size

155mm x 235mm

Editor biography

Virginia Reynolds Parker

Virginia Reynolds Parker is the founder of Parker Global Strategies (PGS), a firm that specialises in custom designing and managing funds of hedge funds (FoHF) for institutional clients across the globe. Since 1995, PGS has designed over 20 multi-manager programmes and advised on over US$1.75 billion. PGS was among the first FoHF firms to apply risk management oversight to its funds.

Virginia has expertise in traditional and alternative investment strategies, and a strong background in currency risk and returns, risk measurement and management of multi-manager hedge fund portfolios. She has developed industry-recognised performance benchmarks for foreign exchange. Her research is widely published and she is a frequent speaker at industry conferences. From 1988 until 1995, Virginia was managing director and director of research and risk management at Ferrell Capital Management. Previously, she was the CIO for a family office. Virginia earned an AB in economics and political science from Duke University.

Virginia is an OPM graduate of Harvard Business School. She is a Chartered Financial Analyst, a member of the New York Society of Security Analysts, Stamford Society of Security Analysts, International Association of Financial Engineers, a founding member and angel of "100 Women in Hedge Funds" and serves on the Board of The Foundation for Managed Derivatives Research.

Table of contents

Introduction

Virginia Reynolds Parker

Parker Global Strategies LLC

PART I: PERSPECTIVES FROM THE INVESTORS

1 The Risk in Measuring Hedge Fund Performance

Mark J. P. Anson

CalPERS

2 Measuring Hedge Fund Performance

Ronald L-Liesching

Pareto Partners

3 Implementation Considerations When Using Absolute-Return Strategies for Traditional Portfolio Risk Reduction

Alan H. Dorsey

CRA RogersCasey

4 Risk Management Issues for the Family Office

Luc Estenne

Partners Advisers SA

5 What Does Risk Mean for Pension Fund Trustees?

Robbie Alexander

Octane Group

6 Examining Potential Risk Mitigation Benefits of Diversification

John Levitt

Gregoire Capital

PART II: PERSPECTIVES FROM THE HEDGE FUND MANAGERS

7 Sound Practices for Hedge Funds

Tanya Styblo Beder

Tribeca Global Management LLC

8 Managing a Global Credit Portfolio

Michael Mabbutt

Thames River Capital

9 Managing Risk in a Global Event Arbitrage Portfolio

John Paulson

Paulson & Co. Inc

10 Risk Management for Convertibles

Michael A. Boyd Jr, Scott Watson, Evan Misshula

Forest Investment Management LLC

11 Mortgage Strategies

Eric H. Keiter

MKP Capital Management, LLC

12 Risk Management for a Distressed Securities Portfolio

Marti P. Murray

Murray Capital Management, Inc

13 Short Selling: A Unique Set of Risks

A. R. Arulpragasam; James S. Chanos

Arktos LLC; Kynikos Associates

14 Risk Management for Hedge Fund Strategies - Foreign Exchange

A. Paul Chappell

C-View Limited

15 Investable Hedge Fund Indices: Creation and Management

Thomas Schneeweis; Vassilis Karavas, Rae DuBose

University of Massachusetts; Lyra Capital

PART III: PERSPECTIVES FROM FUND-OF-HEDGE-FUND MANAGERS

16 Risk: Defining It, Measuring It, and Managing It

Robert A. Jaeger

EACM Advisors LLC

17 Hedge Fund Risk and its Implications

David J. Gordon

18 Integrating Risk Management into the Portfolio Management Process for Effective Fund-of-Hedge-Funds Risk Management and Performance Measurement

Virginia Reynolds Parker

Parker Global Strategies LLC

19 The Big Five

Ken Kinsey-Quick

Thames River Capital

PART IV: OPERATIONAL, COUNTERPARTY, REGULATORY, AND LEGAL PERSPECTIVES

20 Operational Risk

Marcelo Cruz; Jonathan Davies

RiskMaths; Risk Business

21 Managing Hedge Fund Risk from the Dealer’s Perspective

Irenee D. May, Jr

JP Morgan

22 Regulatory Risk for Hedge Fund Managers

Cynthia M. Fornelli

Bank of America

23 Legal Risks of Investments in Hedge Funds

Christopher M. Wells

Coudert Brothers LLP