Hedge Fund VaR Analytics

We propose a model to determine the value at risk (VaR) due to hedge fund volatility during closeout of hedge fund positions, as well as pricing calculations for options written on a basket of funds. It contains the implemented VaR calculations for options written on a basket of hedge funds, with minor changes and the methodology for calculating the VaR of the LTV (loan to value) ratio for loans to funds-of-funds.