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A fully parametric approach to return modelling and risk management of hedge funds

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  • Stefan Kassberger
  • Rüdiger Kiesel

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  • Stefan Kassberger & Rüdiger Kiesel, 2006. "A fully parametric approach to return modelling and risk management of hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 472-491, December.
    • Handle: RePEc:kap:fmktpm:v:20:y:2006:i:4:p:472-491
    DOI: 10.1007/s11408-006-0035-1
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    References listed on IDEAS

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    1. Chen, Ying & Härdle, Wolfgang & Jeong, Seok-Oh, 2008. "Nonparametric Risk Management With Generalized Hyperbolic Distributions," Journal of the American Statistical Association, American Statistical Association, vol. 103(483), pages 910-923.
    2. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-330, National Bureau of Economic Research, Inc.
    3. Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-524, October.
    4. Helyette Geman & Cécile Kharoubi, 2003. "Hedge Funds Revisited : Distributional Characteristics, Dependence Structure and Diversification," Post-Print halshs-00144363, HAL.
    5. Yannick Malevergne & Didier Sornette, 2006. "Extreme Financial Risks : From Dependence to Risk Management," Post-Print hal-02298069, HAL.
    6. Martin Eling, 2006. "Performance measurement of hedge funds using data envelopment analysis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 442-471, December.
    7. Eling, Martin & Schuhmacher, Frank, 2007. "Does the choice of performance measure influence the evaluation of hedge funds?," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2632-2647, September.
    8. Gupta, Anurag & Liang, Bing, 2005. "Do hedge funds have enough capital? A value-at-risk approach," Journal of Financial Economics, Elsevier, vol. 77(1), pages 219-253, July.
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    Citations

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    Cited by:

    1. Douglas Cumming & Sofia Johan, 2006. "Provincial preferences in private equity," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 369-398, December.
    2. Wei-Han Liu, 2014. "Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions," Applied Economics, Taylor & Francis Journals, vol. 46(12), pages 1420-1435, April.
    3. Juliane Proelss & Denis Schweizer, 2014. "Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 1-28, February.
    4. Albrecht, Peter & Schwake, Edmund & Winter, Peter, 2007. "Quantifizierung operationeller Risiken: Der Loss Distribution Approach," German Risk and Insurance Review (GRIR), University of Cologne, Department of Risk Management and Insurance, vol. 3(1), pages 1-45.
    5. Asmerilda Hitaj & Lorenzo Mercuri, 2013. "Portfolio allocation using multivariate variance gamma models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(1), pages 65-99, March.
    6. Martin Eling, 2006. "Performance measurement of hedge funds using data envelopment analysis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 442-471, December.
    7. Jose Luis Alayon G., 2015. "Distribucion hiperbolica generalizada: una aplicacion en la seleccion de portafolios y en cuantificacion de medidas de riesgo de mercado," Revista de Economía del Rosario, Universidad del Rosario, vol. 18(2), pages 249-308, December.
    8. Douglas Cumming & Sofia Johan, 2007. "Advice and monitoring in venture finance," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(1), pages 3-43, March.
    9. Eling, Martin, 2014. "Fitting asset returns to skewed distributions: Are the skew-normal and skew-student good models?," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 45-56.
    10. Santanu Dutta & Tushar Kanti Powdel, 2023. "Modeling Long Term Return Distribution and Nonparametric Market Risk Estimation," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 257-289, May.
    11. Schuhmacher, Frank & Eling, Martin, 2011. "Sufficient conditions for expected utility to imply drawdown-based performance rankings," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2311-2318, September.
    12. Emanuel Derman & Kun Soo Park & Ward Whitt, 2010. "A stochastic-difference-equation model for hedge-fund returns," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 701-733.
    13. Szabolcs Szikszai & Tamas Badics, 2014. "Enhanced Funds Seeking Higher Returns," Working papers wpaper43, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
    14. Martin Eling & Simone Farinelli & Damiano Rossello & Luisa Tibiletti, 2010. "Skewness in hedge funds returns: classical skewness coefficients vs Azzalini's skewness parameter," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 6(4), pages 290-304, September.
    15. Xiao Jiang & Saralees Nadarajah & Thomas Hitchen, 2024. "A Review of Generalized Hyperbolic Distributions," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 595-624, July.
    16. Kim, Joseph H.T. & Kim, So-Yeun, 2019. "Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 145-157.
    17. Cécile Moigne & Patrick Savaria, 2006. "Relative importance of hedge fund characteristics," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 419-441, December.

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    More about this item

    Keywords

    Hedge funds; NIG distribution; Risk management; C16; C52; G32;
    All these keywords.

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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