Market risk management for hedge funds : foundations of the style and implicit value-at-risks

269 Pages·3.347 MB·English

by  François Duc, Yann Schorderet

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Market Risk Management for
Hedge Funds
Foundations of the Style and Implicit
Value-at-Risk
Franc¸ois Duc and Yann Schorderet
AJohnWiley&Sons,Ltd.,Publication
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Market Risk Management for
Hedge Funds
i
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ForothertitlesintheWileyFinanceSeries
pleaseseewww.wiley.com/finance
ii
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Market Risk Management for
Hedge Funds
Foundations of the Style and Implicit
Value-at-Risk
Franc¸ois Duc and Yann Schorderet
AJohnWiley&Sons,Ltd.,Publication
iii
P1:JYS
fm JWBK337-Duc September19,2008 21:31 Printer:Yettocome
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LibraryofCongressCataloging-in-PublicationData
Duc,Franc¸ois
Marketriskmanagementforhedgefunds:foundationsofthestyleandimplicitvalue-at-risk/
Franc¸oisDucandYannSchorderet.
p.cm.
Includesbibliographicalreferencesandindex.
ISBN978-0-470-72299-2
1.Hedgefunds. 2.Riskmanagement. 3.Hedgefunds—Evaluation. 4.Investment
analysis—Mathematicalmodels. I.Schorderet,Yann. II.Title.
HG4530.D832008
332.64(cid:2)524—dc22
2008039311
BritishLibraryCataloguinginPublicationData
AcataloguerecordforthisbookisavailablefromtheBritishLibrary
ISBN978-0-470-72299-2(HB)
Typesetin11/13ptTimesbyAptaraInc.,NewDelhi,India
PrintedandboundinGreatBritainbyTJInternationalLtd,Padstow,Cornwall,UK
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ToKarineandChloe´ thetwolovesofmylife.
ToProfessorGilbertRitschard,Iamgrateful(tohim)for
inculcatingthejoyoflearningprocessinstatisticsandforhis
continuousfriendship.
F.D.
Tomyparents,whoalwayssupportmeinmyendeavoursinarts
andsciences.
Y.S.
v
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HenriLaboritt
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