Hedge Fund Risk Assessment

This is the 2nd installment of our hedge fund risk management webinars, a continuation of the 'Unique Hedge Fund Problems' tutorial. The tutorial discusses two main topics: why the traditional risk assessment models are not applicable to hedge funds and how Risk Shell can help you valuate hedge fund investment risks and enhance performance of hedge fund of funds, from the practitioner's standpoint.

Why Traditional Risk Management Techniques Don't Work For Hedge Funds

A brief overview of the traditional risk management and risk assessment techniques with the main focus on their inapplicability for hedge funds:

• The Mean-variance methodology
• The Capital Asset Pricing Model (CAPM)
• The Tactical Asset Allocation (TAA) model
• The traditional Performance Attribution and Style Analysis

Risk Shell: Advanced Risk Analytics Designed For Hedge Funds

Risk Shell offers a broad choice of analytical tools for hedge fund risk assessment and valuation, from tail risks analysis and copula-based stochastic simulation, to multivariate factor analysis and multi-statistic peer group analysis. All these tools offer deep insights into hedge fund risks from different angles and take into account hedge fund peculiarities: non-normal distributions of returns, a lack of transparency, short return series, an enormous range of underlying asset classes and so on.

Hedge Fund Risk Assessment For Hedge Fund Practitioners - Step-by-step Tutorial

• Value-at-Risk and tail risk analysis. VaR derivatives (CVaR, HVaR, MVaR)
• The Omega ratio for non-normal distributions or returns
• Factor Analysis and Style Analysis models tailored to hedge funds
• Macroeconomic Scenario Screening™ and Trend Segmentation™
• Peer Group Analysis for hedge funds
• FlexiRank™ and user-defined synthetic risk statistics
• Hedge fund liquidity risks, how to spot illiquid hidden assets

Potential Audience

Institutional portfolio managers, hedge fund investors, hedge fund of funds and multi-asset portfolio managers, CIOs, advanced family offices, advisers, research houses, consultants, pension plans, endowments, family offices.