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Modélisation des rentabilités extrêmes des distributions de hedge funds

Author

Listed:
  • Emmanuelle Fromont

    (CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique)

Abstract

The main goal of this paper is to use extreme value theory to investigate the tail behaviour of Hedge Funds returns in order to assess their risk profile and especially their extreme risk. Using the peaks-over-threshold model, we estimate each tail by fitting a Generalised Pareto Distribution to returns lying beyond certain threshold that marks the beginning of tail regions. Results of this research can enable investors and risk managers to improve our understanding of large movements of funds returns and thus risk management. Empirical evidence suggests Hedge Funds distributions show thick tails in the both the upper and the lower regions. Moreover, we find any evidence of asymmetric tails what it means that these vehicles could be fairly risked. The results show that the use of traditional measures based on the normal distribution may lead to underestimate the extreme risk.

Suggested Citation

  • Emmanuelle Fromont, 2005. "Modélisation des rentabilités extrêmes des distributions de hedge funds," Post-Print halshs-00006270, HAL.
    • Handle: RePEc:hal:journl:halshs-00006270
    as

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