Knowledge Base: Risk Management, Portfolio Construction, Hedge Funds

The Conditional Value-at-Risk (CVaR) is defined as the expected value of the losses assuming that the losses exceed the VaR.


Introduced in 2002 by Keating and Shadwick, Omega ratio is a relatively new addition in a hedge fund metrics library. By employing higher moments and taking into account actual shapes of distributions of returns, this measure is well-suited for hedge fund risk assessment, because of non-normality of their distributions.


Value-at-Risk (VaR) estimates the potential loss in the value of a portfolio or investment over a specific time horizon and under a given level of confidence.


Liquidity Risk involves the inability of a firm to fund its illiquid assets. Liquidity risk is directly linked with credit and market risks, which become uncontrollable because of delayed redemptions.

Volatility Risk refers to the impact on a portfolio of the unexpected changes in volatility. On the one hand, volatility risk involves changes in derivatives’ prices due to the unpredictable changes in the volatility of the underlying assets.

Concentration risk arises because of increased exposure to one trading strategy or a group of correlated assets. Commonly, concentration risk is understood as exposure to a linked group of assets

Strategy Risk implies changes in the employed trading strategies, which, in turn, leads to increased risks of other categories...

Operational Risk arises from errors that can be made in instructing payments or settling transactions. In practice, all institutions are exposed to it, while the sources are ample and diverse.

Page 1 of 2

Demo Request


  Mail is not sent.   Your email has been sent.