Do hedge funds dynamically manage systematic risk?
نویسندگان
چکیده
منابع مشابه
Hedge Funds: Risk and Return
ince the early 1990s, hedge funds have become an increasingly popular asset class. The amount invested globally in hedge funds rose from approximately $50 billion in 1990 to approximately $1 trillion by the end of 2004.1 And because these funds characteristically use substantial leverage, they play a far more important role in the global securities markets than the size of their net assets indi...
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Systemic risk is commonly used to describe the possibility of a series of correlated defaults among financial institutions—typically banks—that occur over a short period of time, often caused by a single major event. However, since the collapse of Long Term Capital Management in 1998, it has become clear that hedge funds are also involved in systemic risk exposures. The hedge-fund industry has ...
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hile hedge funds have been around since at least the 1940s, it has been only in the last decade or so that they have attracted widespread attention. Investors—mainly well understood by their own investors, much less by their bankers and derivatives counterparties. LTCM had managed to build up so much leverage both onand off-balance sheet that when their investments soured they were unable to me...
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In this paper, we examine the risk characteristics and capital adequacy of hedge funds using Value-at-Risk (based on Extreme Value Theory) as the criterion for measuring risk and estimating capital requirements. Using extensive data on nearly thirteen hundred live and dead hedge funds, we find that the vast majority of funds are adequately capitalized. In addition, a large fraction of hedge fun...
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H funds’ extensive use of derivatives, short selling, and leverage and their dynamic trading strategies create significant nonnormalities in their return distributions. Hence, the traditional performance measures fail to provide an accurate characterization of the relative strength of hedge fund portfolios. This paper uses the utility-based nonparametric and parametric performance measures to d...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2016
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2015.11.014