Market Risk Management for Hedge Funds: Foundations of the Style and Implicit Value-at-Risk

François Duc is head of the Risk Advisory Desk for alternative investments of UBP (Union Bancaire Privée), the second largest worldwide investor in hedge funds. Prior to joining UBP in October 2005, Francois was responsible for the quantitative analysis and risk management at Banque SYZ & Co. In addition, he has written articles in finance, statistics and general equilibrium theory for various publications and is co-editor of a book on a learning process. Francois did his PhD in Econometrics at Geneva University where he was Assistant Professor in Statistics.

Yann Schorderet works as a quantitative strategist at Banque Mirabaud & Cie. From June 2004 to June 2006, he was a member of both the Risk Advisory team and the Quantitative Team at UBP (Union Bancaire Privée). In 2003, he acted as a quantitative analyst in a start-up company specialised in funds of hedge funds. Prior to that, he was Assistant Professor in the Department of Econometrics of the University of Geneva and the Laboratoire d’Economie Appliquée. From 2001 to 2002, he carried out post-doctoral research at the University of California, San Diego. He holds a PhD in econometrics and statistics from the University of Geneva. Yann is a CFA charterholder.