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Risk Management Private Equity

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New Generation of Risk Management for Hedge Funds and Private
Equity Investments

Description:    The New Generation of Risk Management for Hedge Funds and Private Equity Investments has been
                designed to address issues that raise disquiet among investors in alternative investments. This
                book describes and evaluates the unique risks affecting individual hedge fund strategies, private
                equity investments and generic risks of types of alternative investment strategies. Ensuring that
                both institutional investors and private investors have the information they need to be able to
                evaluate their investment advice and effectively allocate and manage their alternative investment
                strategies.

                The New Generation of Risk Management for Hedge Funds and Private Equity Investments has
                contributions by the leading names in the hedge fund and private equity universe. A private forum
                for you, the reader, with Mark Anson (CIO for CalPERS), Sir David Cooksey (Founder of Advent,
                Senior Director of the Bank of England, former Governor of the Wellcome Trust), Alexander M.
                Ineichen (Global Head of AIS research at UBS) and Leslie Rahl (founder of Capital Market Risk
                Advisors).

                This book has been included as required reading for Level II of the Chartered Alternative
                Investment Analyst (CAIA) Association program.

                Chapters from this book have also been included as core reading in the new section on Risk and
                Investment Management in the GARP 2005 Financial Risk Management Exam.

                "...an important new book providing a comprehensive discussion of the risks inherent in alternative
                investments...both the experienced alternative investor and those new to the field will find this
                book valuable for better understanding the investment landscape which has become increasingly
                complex"
                - Virginia Parker, President and Founder, Parker Global Strategies, LLC



Contents:       Author biographies
                Foreword
                Hans-Willem van Tuyll
                Preface
                Lars Jaeger

                Chapter 1: Risks and risk management for hedge funds
                Lars Jaeger
                Challenges for the hedge fund industry
                Sources of hedge fund return
                Special challenges of hedge fund risk management
                Risks in hedge funds
                Elements of hedge fund risk management
                Current issues for hedge fund risk management
                Conclusion

                Part I: Hedge fund risk

                Chapter 2: Hedge fund risk
                Alexander M. Ineichen
                Introducing the absolute return approach
                Risk management is supposed to yield asymmetric returns
                Return illusion
                Risk illusion from time diversification
                Systematic risk versus non-systematic risk
                Conclusion
Chapter 3: Understanding return sources of hedge funds and
private equity investments
Lars Jaeger and Patrik Säfvenblad
Summary
Introduction
The sources of hedge fund returns
The risk factor exposure of hedge funds and private equity
Active strategies and option-like returns
Modelling returns of active strategies
The role of manager skill
Lessons for investors
Conclusion

Chapter 4 : Measuring risk in hedge fund portfolios
John St Hill
Introduction
Strategy selection
Manager selection
Conclusion

Chapter 5: The risk in hedge fund strategies: alternative alphas and
alternative betas
William Fung and David Hsieh
Introduction
Peer-group-based style factors and return-based style factors
Asset-based style factors
Empirical results
Applications of ABS factors in portfolio and risk management
Conclusion

Chapter 6: Funds of hedge funds
Sohail Jaffer
Introduction
The set-up and value added of funds of hedge funds
Portfolio management strategies
Style risks and diversification: the selection of strategy sectors
Risks of fund of funds manager selection: the due diligence process
The post-investment risk management process for
multi-manager portfolios
Defining and managing hedge fund portfolio risk
The issue of transparency
Active risk management and the issue of liquidity
Conclusion

Chapter 7: Due diligence
Leslie Rahl
Know the context
Is the fund consistent with my goals?
The past
Information
Risk
Risk management
Risk management versus risk measurement
Risks
Compliance does not equal risk management
Conclusion

Chapter 8: Convertible arbitrage strategy
William Feingold
Introduction
How convertible arbitrage works
The risks
Conclusion

Chapter 9: Fixed income arbitrage
Michael Pintar
Introduction
Fixed income arbitrage strategies and their risks
Yield curve trades
Spread trades
Options trades
Portfolio risks

Chapter 10: Managing risks of long/short equity strategies
Tolga Demir
Introduction
Long/short equity
Short selling
Equity market neutral
Conclusion

Chapter 11: Global macro and managed futures strategies
Patrik Säfvenblad
Introduction
The sources of global macro returns
Systematic versus discretionary managers
Technical versus fundamental managers
Trend-following managers
Short-term trading
Fundamentals-based trading
Conclusion

Chapter 12: Trend following: performance, risk and
correlation characteristics
Michael Rulle
Introduction
Trend following and sources of return
Returns and volatility of returns
Correlation of returns and portfolio construction
Conclusion

Chapter 13: The risks of commodity investing
Hilary Till and Joseph Eagleeye
Risk and return sources of commodities
Role in a traditional portfolio: commodity futures investments
as a diversifier or return driver
Idiosyncratic risk and systematic macroeconomic risk factors
Conclusion

Part II: Private equity risk

Chapter 14: Quantitative private equity risk management
André Frei and Michael Studer
Introduction
Cash flow characteristics of private equity
Private equity risks and risk management
Conclusion

Chapter 15: Risk management for private equity funds of funds
Bradley Atkins and Mario Giannini
Introduction
Definition and role of a fund of funds
Structuring private equity funds of funds
Difficulties of measuring risk
Style risks and diversification
Risks of manager selection
Investment selection process
Monitoring portfolio risk
Active risk management
Conclusion

Chapter 16: The risks of mezzanine
Martin Conder
Introduction
What is mezzanine?
Reducing risk through credit analysis
The real value of mezzanine security
Portfolio returns: what you get in the long run
How the mezzanine portfolio manager reduces risk

Chapter 17: Risks of venture capital
Sir David Cooksey
Introduction
Background
The investment process
Assessing the general partner
Due diligence
The investor’s perspective

Chapter 18: Understanding and managing risk in leveraged buy-out
fund investing
William Schmidt
Introduction
Risks
Outlook

Part III: The perspective of investors, consultants and
third parties

Chapter 19: The fiduciary’s perspective on alternative assets and
institutional risk management
Mark Anson
Introduction
The concentrated portfolio
Do hedge funds hedge?
Fraud
Fiduciary risk management: establishing an investment policy
Conclusion

Chapter 20: A consultant’s perspective on hedge fund and private
equity risk
Geoff Singleton
Background
The strategic role for hedge funds and private equity
Implementing an allocation to private equity
Alternative strategies
Portfolio supervision
Fee structures
Cash flow management
Implementing an allocation to hedge funds
Scheme-centric framework: allowing for systematic risks and rewards
Financial economic case: where systematic risks and rewards
are excluded
Conclusion

Chapter 21: The perspective of consultants on hedge fund and private
equity risk
Alan H. Dorsey
Introduction
The evolution of AIS investing and risk management among
endowments and foundations
Organisational considerations for AIS risk tolerance
The role of the investment committee
The role of the investment staff
The role of a fund of funds
The role of the consultant
The first defence against AIS risk: diversification
Due diligence and AIS risk management
Summary

Chapter 22: Specific issues for pension funds and other
institutional investors
Markus Schaub
Introduction
Regulatory restrictions
Importance of risk management for institutional investors
Comparison with risk management in traditional asset classes
Risk measurement
Impact on risk-adjusted performance measurement
Strategic dimension
Conclusion

Chapter 23: Hedge funds: special issues for financial institutions
Dr Franz Feldmann
Introduction
The strategic production plan
Creating a white-label hedge fund of funds solution
Summary

Chapter 24: Hedge fund and private equity securitisation
Michael Romer, Michael Moise and Richard Hrvatin
Introduction
What is a securitisation?
Hedge fund CFOs
Why structure a CFO?
Private equity CFOs

Part IV: Risk management techniques

Chapter 25: Simulation-based risk management systems for
hedge funds
Curt Burmeister, Helmut Mausser and Dan Rosen
Introduction
Simulation and scenarios
Simulation-based methodology: Mark-to-Future
Simulation-based architecture
Scenario-generation methods
Modelling hedge funds and funds of funds
Examples
Case study: scenario-based risk management at Ritchie Capital

Chapter 26: Risk measurement for hedge funds
Allan M. Malz
The role of quantitative risk measurement in hedge funds
Market, credit and liquidity risk in hedge funds
Conclusion

Chapter 27: Style drifts: monitoring, detection and control
Pierre-Yves Moix
Introduction
On styles and strategies
            Style drift: definition and importance
            Main reasons for style drifts
            How can a style drift be detected, monitored and controlled?
            Conclusion

            Chapter 28: VaR, stress testing and related risk management
            techniques for hedge funds
            Paul Embrechts and Hansjörg Furrer
            Introduction
            Value-at-Risk
            Dependence in risk management
            The use of VaR for hedge funds
            Stress testing and scenario analysis
            Conclusion

            Chapter 29: Performance and risk measurement challenges for
            hedge funds: empirical considerations
            Peter Blum, Michel Dacorogna and Lars Jaeger
            Risk and risk measures
            Evaluation of risk measures
            Risk in extreme situations
            Dependence and diversification
            Time dependence and volatility clustering
            Conclusion

            Part V: Legal and regulatory issues

            Chapter 30: Legal and fiscal risks in structuring and selling hedge
            funds in Germany
            Achim Pütz
            Introduction
            Current general legal conditions for hedge funds and structured
            hedge fund products in Germany
            The Investment Act 2003

            Chapter 31: Regulatory issues for hedge funds
            Simon Firth, Victoria Schonfeld and Isha Youhas
            Introduction
            General issues
            Issues and developments in the United Kingdom
            Issues and developments in the United States
            Issues and developments in the EU
            Conclusion



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Description: Risk Management Private Equity document sample