Hedge fund and market risk: new concepts and models, beyond VaR

This file is part of IDEAS, which uses RePEc data

Hedge fund and market risk: new concepts and models, beyond VaR

Author Info

Maria Debora Braga (Università della Valle d’Aosta e SDA Bocconi)

Abstract

Current developments of hedge funds market demonstrate the relevance of operative and market risk exposure measurement. VaR represents the more widespread approach adopted for measuring the market risk and it could be used jointly with other measures in order to overcome some forecasting limits of traditional approaches. The Modified VaR and moreover the EVT VaR seem to be more effective , even if more complex.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

Publisher Info
Article provided by Bancaria Editrice in its journal BANCARIA.

Volume (Year): 9 (2009)
Issue (Month): (September)
Pages: 76-87
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ban:bancar:v:9:y:2009:m:september:p:76-87

Contact details of provider:
Web page: http://www.bancaria.it

For technical questions regarding this item, or to correct its listing, contact: (Paola Patroni).

Find related papers by JEL classification:
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting
G20 - Financial Economics - - Financial Institutions and Services - - - General

Statistics
Access and download statistics

Did you know? RePEc stands for Research Papers in Economics.

This page was last updated on 2009-11-16.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.