In the first of two papers, we present a factor-decomposition based framework that facilitates non-parametric risk analysis for complex hedge fund portfolios in the absence of portfolio level transparency. Our approach has been designed specifically for use within the hedge funds-offunds...

This paper illustrates how qualitative analysis can be incorporated into quantitative risk measurement in order to construct an expected distribution of hedge fund returns that explicitly allows for market, residual and tail risk. We show how the combination of statistical criteria with...

Leveraged investments have become a fundamental feature of modern economies. The new financial products allow people to take greater-than-usual exposures to risk factors. This thesis analyzes several different aspects of the risks involved by some frequently used leveraged products: CDOs, CDSs,...