Hedge Fund Risk Modeling
نویسندگان
چکیده
منابع مشابه
Risk Management for Hedge Funds: Introduction and Overview
Although risk management has been a well-plowed field in financial modeling for more than two decades, traditional risk management tools such as mean–variance analysis, beta, and Value-at-Risk do not capture many of the risk exposures of hedge-fund investments. In this article, I review several unique aspects of risk management for hedge funds—survivorship bias, dynamic risk analytics, liquidit...
متن کاملThe Risk in Fixed-Income Hedge Fund Styles By
We acknowledge the LBS Centre for Hedge Fund Research and Education for providing the hedge fund data used in this paper. Earlier versions of this paper were presented at Abstract This paper studies the risk in fixed-income hedge fund styles. Principal component analysis is applied to groups of fixed-income hedge funds to extract common sources of risk and return. These common sources of risk a...
متن کاملAn Introduction to Hedge Funds
This report was originally written as an industry white paper on Hedge Funds. This paper gives an overview to Hedge Funds, with a focus on risk management issues. We define and explain the general characteristics of Hedge Funds, their main investment strategies and the risk models employed. We address the problems in Hedge Fund modelling, survey current Hedge Funds available on the market and t...
متن کاملFixed Income The Risk in Fixed - Income Hedge Fund Styles
We acknowledge the LBS Centre for Hedge Fund Research and Education for providing the hedge fund data used in this paper. Earlier versions of this paper were presented at Abstract This paper studies the risk in fixed-income hedge fund styles. Principal component analysis is applied to groups of fixed-income hedge funds to extract common sources of risk and return. These common sources of risk a...
متن کاملHedge Fund Performance Evaluation:
We analyze hedge fund performance using the stochastic discount factor (SDF) approach and imposing the arbitrage-free requirement to correctly value the derivatives and dynamic trading strategies used by hedge funds. Using SDFs of many asset-pricing models, we evaluate hedge fund portfolios based on style and characteristics. Without the arbitrage-free requirement, pricing errors are relatively...
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تاریخ انتشار 2007