The JOBS Act at Year One:
A Changing Hedge Fund Communications Landscape
The private world of hedge funds is looking more like Madison Avenue.
Hedge funds today are everywhere in daily headlines, social media, public web sites,
live TV coverage, and even
Mikhail Chernov, Alexander S. Gorbenko, and Igor Makarov
October 13, 2011
Abstract We analyze credit default swap settlement auctions theoretically and evaluate them empirically. In our theoretical analysis, we show that the current auction
1. A fund manager announces that the funds one month 95% VaR is 6% of the size of
portfolio being managed. You have an investment of $100,000 in the fund. How do you
interpret the portfolio managers announcement?
2. A fund manager announces
PROBLEM FOR VAR AND ES
Suppose that each of two investments has a 0.9% (.009) chance of a loss of $10
million, a 99.1% chance of a loss of $1 million, and 0% chance of a profit. The
investments are independent of each other.
What is the VaR for one of