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1、RiskanagementForHedgeFunds:ntroductionandverviewyAndrewW.oFirstDraft:ovember2,2000atestRevision:une7,2001AbstractAlthoughriskmanagementhasbeenawell-ploughed eldin nancialmodelingforovertwodecades,traditionalriskmanagementtoolssuchasmean-variance
2、analysis,beta,andValue-at-Riskdonotcapturemanyoftheriskexposuresofhedge-fundinvestments.nthispaper,reviewseveraluniqueaspectsofriskmanagementforhedgefunds
3、survivorshipbias,dy-namicriskanalytics,liquidity,andnonlinearities
4、andprovideexamplesthatillustr
5、atetheirpotentialimportancetohedge-fundmanagersandinvestors.proposearesearchagendafordevelopinganewsetofriskanalyticsspeci callydesignedforhedge-fundinvestments,withtheultimategoalofcreatingrisktransparencywithoutcompromisingtheproprietarynatureofhedge
6、-fundinvestmentstrategies.thanketerChananduneZhangforresearchassistanceandmanystimulatingdiscussions,andeodeBever,ArnoutEikeboom,Gi ordFong,acobGold eld,Tonyao,Boberton,Dan'Reilly,therefereeandconferenceparticipantsatthe1999HedgeFundnvestor
7、sSummit,theDeutscheBankSecuritiesBridgingtheGap"Conference,thericewaterhouseCoopersRisknstitute2000Conference,andtheRisk2001EuropeConferenceformanyhelpfulcommentsandsuggestions.ResearchsupportfromAlphaSimplexGroupisgratefullyacknowledged.yTSloanSch
8、oolofanagement(onleave)andAlphaSimplexGroup,C,neCambridgeCenter,Cambridge,A02142{1347,(617)475{7100,alo@alphasimplex.com(email).Contents1ntroduction12WhyRiskanagement?33WhyotVaR?44SurvivorshipBias95DynamicRiskAnalytics116onlinearities177iquidi
9、tyandCredit238therConsiderations309Conclusion311ntroductionDespiteongoingconcernsregardingthelackoftransparencyandpotentialinstabilitiesofhedge-fundinvestmentcompanies,thehedge-fundindustrycontinuestogrowatarapidpace.Fueledbytheprospectofdouble-andtri
10、ple-digitreturnsandanunprecedentedbullmarket,investorshavecommittednearly$500billioninassetstoalternativeinvestments,andmajorinstitutionalinvestorssuchasthetrend-settingCaliforniaublicEmployeesRetirement1Systemarestartingtotakea
