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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: 2245
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 11-16-2010
Publisher: Administrator
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
Lyzanets, Natalya Sign in to follow this author
Senchyna, Maksym Sign in to follow this author
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