Risk Management for Hedge Funds with Position Information
针对对冲基金动态交易策略下传统风险度量不可靠的问题，提出基于持仓信息的风险价值方法，通过频繁测量和事前限额控制实际风险，并用期权空头案例验证有效性。
Risk management is a challenge for hedge funds because traditional risk measurement methods based on return data are unreliable for dynamic trading strategies. Yet managers can still use value at risk (VaR) methods to measure and control the market risk of hedge funds. Two key VaR features enable this: VaR 1) is based on current position information, and 2) focuses on a lower quantile of the distribution of losses or some other risk metric. For rapidly changing positions, VaR should be measured at frequent intervals, as would be the case for bank's proprietary trading portfolios. An example demonstrates the usefulness of dynamic risk measures for a hypothetical hedge fund with short option positions. Imposition of daily ex ante VaR limits using position information can be successful in controlling realized risk. <bold>TOPICS:</bold> <ext-link>Risk management</ext-link>, <ext-link>VAR and use of alternative risk measures of trading risk</ext-link>, <ext-link>volatility measures</ext-link>