Riskdata publishes VaR indicators for HFR indices

Date: Thursday, October 23, 2008
Author: Riskdata.com

Riskdata, the leading developer of risk management solutions, in close collaboration with Hedge Fund Research Inc., a provider of hedge fund performance data and indices, is starting day-to-day publication of Value-at-Risk (VaR) indicators for the global hedge fund industry. The aim of this disclosure is to provide in-depth insight into the levels of risks in the hedge fund industry, thereby increasing overall market transparency and restoring rationality to investor confidence. Riskdata and Hedge Fund Research Inc. believe that publishing VaR indicators can help investors to discern and separate real from imaginary investment threats.

To facilitate the understanding of risk level fluctuations across the globalized market and asset classes, Riskdata provides global indicators of two risk measures - VaR and ShockVaR. Both estimates are the result of the full overnight revaluation Monte-Carlo simulation. Unlike more traditional VaR measurements, ShockVar indicates the possible over- or under- estimate of risk during periods of extreme market stress. According to Adlerberg, ShockVaR is more reactive than long-term VaR and can increase by a factor of two within a few days following a shock or anticipating a shock. Similarly, it rapidly falls back to its initial value if the market volatility returns to long-term levels. Riskdata uses its own proprietary methodology to determine ShockVaR