For the fund-of-funds manager, managing risk in a portfolio of hedge funds requires, first, recognizing that the return distribution of hedge funds is not normal and, second, taking into account the market crisis events that should happen rarely but that, in fact, occur every two to three years. Fortunately, value at risk methodology can be adapted for measuring the normal risk in the fund portfolio and, with some modification, can be applied to estimate how much the portfolio might lose in a crisis. In addition, modeling crises as coherent events allows one to estimate the likely amount of loss requiring a hedge, even though the particular nature of a future crisis may be unknown.