Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

hedge funds sign in to follow this
EVT sign in to follow this
jump-diffusion sign in to follow this
Johnson distribution sign in to follow this
skewed Student-t sign in to follow this
Categories:

VaR Methods sign in to follow this
--Specific Assets/Strategies sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Comparing Different Value-at-Risk Models for Hedge Funds
Company: University of Lausanne
Year Of Publication: 2005
Month Of Publication: October
Pages: 44
Download Count: 34
View Count: 2051
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 11-16-2010
Publisher: Administrator
Summary
As more and more investors turn their attention to the hedge funds industry seeking higher returns or better portfolio diversification, the necessity to accurately assess the risk profile of a fund is becoming more and more imperative. However, due to the specific characteristics of hedge fund returns, the application of Value at Risk is not as straightforward as for the traditional asset classes. The growing amount of literature attempts to discuss the advantages and disadvantages of different VaR models when applied to the hedge fund returns. In our work we aim to compare performance of the six main VaR models for a generic hedge fund and for an “average” hedge fund belonging to a particular strategy in an attempt to identify the best performing model. We also try to identify whether the model performance differs across hedge fund strategies and whether exponential time smoothing improves model performanc
Author(s)
Lyzanets, Natalya Sign in to follow this author
Senchyna, Maksym Sign in to follow this author
This document's citation network:
Similar Documents:
Documents cited in this work:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile