套利基金执行与风险管理指南 THE HEDGE FUND COMPLIANCE AND RISK MANAGEMENT GUIDE
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作者： Armelle Guizot著
出 版 社：
出版时间： 2007-1-1字数：版次： 1页数： 448印刷时间： 2007/12/01开本：印次：纸张： 胶版纸I S B N ： 9780470043578包装： 精装编辑推荐
作者简介：
Armelle Guizot is working in operational risk consulting and on-demand special research projects at various firms globally. From 2004–2005 Guizot researched the role of risk management in offshore management hubs. She also participated in the development of operational risk management in funds and transfer agency lines of businesses. Guizot holds a master's in financial engineering from Cornell and is a graduate of West Virginia State University.
内容简介
The Hedge Fund Compliance and Risk Management Guide provides you with a broad examination of the most important compliance and risk management issues associated with today’s hedge funds. Straightforward and accessible, this invaluable resource covers everything from how hedge funds continue to generate lucrative returns to why some use sophisticated instruments and financial engineering to get around fundamental regulatory laws.
目录
Preface
Acknowledgments
About the Author
CHAPTER 1 History, Definition, and Roles of Hedge Funds
CHAPTER 2 Trading Mandates
Convertible Arbitrage
Distressed Securities
Emerging Markets
Equity Hedge
Equity Market Neutral
Equity Market Neutral: Statistical Arbitrage
Equity Non-Hedge
Event Driven
Fixed Income Strategies
Fixed Income: Arbitrage
Fixed Income: Convertible Bonds
Fixed Income: Diversified
Fixed Income: High-Yield
Fixed Income: Mortgage-Backed
Global Macro
Merger Arbitrage and Risk Arbitrage
Regulation D
Relative Value Arbitrage
Sector Strategies
Sector: Energy
Sector: Financial
Sector: Health Care/Biotechnology
Sector: Metals and Mining
Sector: Real Estate
Sector: Technology
Short Selling
Fund of Funds
FOF: Conservative
FOF: Diversified
FOF: Market Defensive
FOF: Strategic
Commodity Trading Advisors
Role of Hedge Fund Risk Manager
CHAPTER 3 Performances by Strategies
CHAPTER 4 Geographical Areas of Hedge Fund Development
CHAPTER 5 Integration of Hedge Funds in the Financial Markets
CHAPTER 6 Hedge Fund Players
CHAPTER 7 Hedge Fund Risk Types
Pricing and Net Asset Valuation Risk
Market Risk Management
Liquidity Risk
Counterparty Credit Risk
Leverage
Operational Risk
Compliance, Regulatory, Legal, and Governance Risk
Model Risk
Systemic Risk
Insurance and Hedge Funds
Technology and System Risk
Fiduciary Risk
Capacity and Growth Size Monitoring
Transparency and Communication
Verification of Fees
Conflict of Interest and Special Networks
Expenses Monitoring
Special Reserves for Discrepancies and Variances
Electronic Reporting of Policies and Procedures
CHAPTER 8 Basic Risk Management Standards and Recommendations
Value at Risk
Confidence Level
Variance-Covariance
Skewness-Kurtosis and Covariance
Scenario Analysis
Stress Testing
Liquidity or Concentration Risk
Leverage
Credit Risk
Omega
Sortino Ratio
Suggested Minimum Risk Management Framework for Hedge Funds
CHAPTER 9 Role of Indexes in Hedge Funds
CHAPTER 10 Hedge Fund Data and Attrition Rates
CHAPTER 11 Methodologies and Models to Detect Fraud in Hedge Funds
CHAPTER 12 Selection of a Quantitative Model to Detect Fraud
CHAPTER 13 Funds of Funds Rating Methodology
CHAPTER 14 Hedge Funds Rating Methodology
CHAPTER 15 Operational Risk, Audits, Compliance, and Due Diligence
CHAPTER 16 Derivative Structured Products and Corporate Laws to Hide Risks
CHAPTER 17 The Evolution and Involvement of Regulations and Compliance
CHAPTER 18 Hedge Funds’ Future
Conclusion
APPENDIX I Statistical Data
APPENDIX II U.SRegulatory Filings by Hedge Fund Managers
APPENDIX III Compliance Cases Involving Hedge Funds
References
Index
