Hedge funds & operational risk : a guide to best practice
著者
書誌事項
Hedge funds & operational risk : a guide to best practice
（Risk executive report）
Risk Books, c2006
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注記
Includes bibliographical references (p. 141-152) and index
内容説明・目次
内容説明
Capital adequacy allocation is not yet a legal requirement for hedge funds, but given the increase in global investigations, the high failure rate and lack of consistent benchmarking standards, the idea of financial reserves and enforced operational risk management are appealing prospects for the hedge fund investment community. Most hedge funds have superficial risk management but very few apply a thorough operational risk methodology. Independent consulting risk manager, Armelle Guizot, presents in-depth classifications of the range of operational and systemic risks and provides the reader with a benchmark to allocate capital reserves to support them. Based on Guizot's operational and market risk experience gained through working with high profile clients such as JP Morgan, Sumitomo Mitsui and Merrill Lynch, the reader will find that this report: covers all the major operational and regulatory risks associated with hedge funds; provides infrastructural risk maps; introduces a simple methodology to calculate capital adequacy; incorporates industry risk management surveys to benchmark against peers; and encourages fund managers to think ahead.
This report provides hedge fund managers with a complete set of risk principles and standards to avoid operational risks and potential financial losses. At the same time it proves a valuable resource for those without advanced quantitative knowledge, allowing them to quickly grasp the hidden risks of hedge funds.
目次
Chapter 1 Definitions and Developments of Hedge Funds Chapter 2 A Basic Review of all Hedge Fund Trading Strategies Chapter 3 Basic Market Risk Management Formulas and Tools for Absolute and Relative Trading Strategies: A 24 Formulae Toolkit to Conduct Granular or Micro Risk Management in Hedge Funds Chapter 4 Operational Risk in Hedge Funds A) Definitions of Operational Risk in the Financial Industry and Applicable to Hedge Funds B) The Main Sources of Operational Risk: a. Outsourcing b. Third Party c. Trading Complexity d. Volume e. Frauds and Wire Transfers f. No or Inadequate Counterparty Risk System and Verifications g. Limited Access to Data Ownerships and Sharing Between Parties C) Compliance, Reputational and Technological Risks a. Misappropriation b. Misrepresentation c. Trading Mandate Deviations d. Technology and Systems e. Other Chapter 5 Risk Management Solutions and Due Dilligence Tools to Mitigate Operational and Compliance Risks A) Minimum Risk Controls to Implement a. Independent Risk Control Units b. Verifications of Pricing Sources: Automated Intraday Mark to Market c. Operations Outsourcing Verifications: Access to all counterparty prices and positions data d. Fees, Commissions and Expenses Segregation and Objective Calculations e. Reconciliations of Managed Accounts: Onshore, Offshore, Brokerage, Fund Administrators, Fund Manager Risk, External Auditors f. Rotations and Changes of External Auditing Teams B) Risk Rating Methodology a. The Four Qualitative Rating Benchmarks: Descriptions of Internal Controls Criteria with Given Ratings b. The Pyramid of Risk Ratings for the Educated Investor: From Worse or Zero Internal Controls to State of the Arts Ideal Risk Management Standards. Tests and Checklist to Audit Internal Frameworks c. Operational Risk Infrastructural and Architectural Risk Maps d. Key Risk Indicators to Measure Operational Risks and Allocate Adequate Capital and Limit Hedge Fund Capacity e. Two Capital Adequacy Methodology Approaches Chapter 6 The 25 Worst Compliance Cases in History Causing Hedge Fund Failures (categorised into an operational risk map with qualitative ratings and benchmark applications) Step-by-Step Test Maps and Descriptions of Types of Operational Risks According to Hedge Funds Most Common Failures Conclusion
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