Quantification of Hedge Fund Default Risk.

After collecting all available information on 109 hedge fund defaults between 1994 and 2005, we investigated two statistical methods in order to shed some light on the risk profile of hedge funds.

Author(s):

Corentin Christory

Quantitative Analyst with Olympia Capital Management and former Quant Trainee with E.I.M. S.A

Stephane Daul

Senior Researcher, RiskMetrics Group, Research Associate with the EDHEC Risk and Asset Management Research Centre and former Senior Quant Analyst with E.I.M. S.A

Jean-Rene Giraud

Director of Development and Research Associate with the EDHEC Risk and Asset Management Research Centre

In an initial stage, we explore the mechanisms behind a hedge fund failure in detail and propose a causal model that could explain the various scenarios that can occur when hedge funds default. A second stochastic analysis of the sample database allows us to propose a loss model for operational failures and to better understand the limitations of a naïve diversification aimed at reducing the loss from a single event by reducing its share of the overall portfolio.
Pdf
Quantification of Hedge Fund Default Risk....
(-1.00 B)
Type: Position paper
Date: le 02/01/2007
Extra information : Ce document constitue une synthèse de travaux scientifiques conduits au sein de l'EDHEC. Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu] Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.
Research Cluster : Finance

See Also

SESC POMPEIA, A UNIQUE, HYBRID CULTURAL SPACE
News
- 16-01-2019
The fifth step of the Wide Open Project – a world tour of “positive ecosystems” – was...
How guest speaker talks provides unfiltered market insights?
News
- 11-01-2019
Eloi Foulon, MSc in Global & Sustainable Business student, shares his reaction to...
Scientific Beta named
News
- 09-01-2019
Scientific Beta is pleased to announce that it has won the prestigious Risk Award for "...
[Tell Me Your Research] Facing Family Business Challenges
News
- 20-12-2018
What are the most pressing issues facing family businesses today? The biggest challenge...