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Hedge Funds Risk Measurement in the Presence of Persistence Phenomena

  • Mohamed A. Limam
  • Rachida Hennani
  • Michel Terraza

Abstract

Measuring financial assets’ risks constitutes an essential tool for financial institutions to face up the future uncertainties. Thus, the VaR was designated by the Basel Committee as an instrument allowing daily estimation of the required funds to face up the market risks. Risks control is an important matter that animates not only professionals but also finance theorists. Indeed, at the academic level, the risk estimation represented by the parameter of volatility was the object of much research (see Diebold, 2005 for a review of literature). For the financial institutions, the risk constitutes a daily threat imperative for them to manage. Also, the control of this factor is a primordial objective, especially in a context of uncertainty. Thus, the last major crisis, known as the crisis of subprimes, has been an important systemic crisis with lasting consequences. Many authors wondered about the role of various financial assets in this crisis. Cartapanis and Teïletche (2008) concluded on the responsibility of hedge funds in one of the greatest economic crisis. Contrary to the preceding crises, which were limited to a particular sector, the crisis of subprimes was propagated to various sectors, and hedge funds are the main propagators.

Keywords

Unit Root Risk Measurement Hedge Fund Memory Model Market Risk 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Mohamed A. Limam, Rachida Hennani, and Michel Terraza 2013

Authors and Affiliations

  • Mohamed A. Limam
  • Rachida Hennani
  • Michel Terraza

There are no affiliations available

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