Three Studies On Hedge Fund Risk Taking And Herding
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| Author | : Wan-Ju Flora Hsiao |
| Publisher | : |
| Total Pages | : 111 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
This dissertation consists of three studies on hedge fund risk taking and herding. The first paper documents the risk taking of hedge funds in the last three years prior to liquidation using the measures of return volatility. I find that the risk reduction is the greatest for the liquidated sample during the last two and three years as the fund performance drops. Moreover, the volatility-hazard regression shows that the risk taking of funds reduces during the last year prior to fund liquidation as the predicted hazard rates in the previous year increase. The evidence indicates that the liquidation is forced when the performance of the portfolios drops below the liquidation barrier. The second paper investigates the risk taking choices of hedge funds following redemption requests. I find that hedge funds with longer restriction periods tend to take lower risk if there are no significant redemption requests. Second, hedge funds with short restriction periods tend to increase risks following redemption requests. The increase in risk is larger for large redemptions than for small redemptions. However, if there are large redemptions during market crisis, hedge funds tend to take higher post risk even when the restriction periods are longer. The third paper examines hedge funds herding in response to macroeconomic uncertainty during periods of high volatility with extreme market returns. I find that hedge funds that follow directional strategies herd towards the consensus during periods of high macroeconomic uncertainty. The degree of herding towards the consensus becomes greater during periods of economic downturn. I also find that the degree of herding for live funds following directional strategies is greater during periods of high macroeconomic uncertainty in down markets. This suggests that the similar trading manners of the directional fund managers in times of macroeconomic uncertainty could be beneficial for fund survival.
| Author | : Achim Mattes |
| Publisher | : |
| Total Pages | : |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
| Author | : Sushil Bikhchandani |
| Publisher | : |
| Total Pages | : 38 |
| Release | : 2000 |
| Genre | : Capital market |
| ISBN | : |
| Author | : David P. Belmont |
| Publisher | : John Wiley & Sons |
| Total Pages | : 400 |
| Release | : 2011-09-13 |
| Genre | : Business & Economics |
| ISBN | : 0470827262 |
The ultimate guide to dealing with hedge fund risk in a post-Great Recession world Hedge funds have been faced with a variety of new challenges as a result of the ongoing financial crisis. The simultaneous collapse of major financial institutions that were their trading counterparties and service providers, fundamental and systemic increases in market volatility and illiquidity, and unrelenting demands from investors to redeem their hedge fund investments have conspired to make the climate for hedge funds extremely uncomfortable. As a result, many funds have failed or been forced to close due to poor performance. Managing Hedge Fund Risk and Financing: Adapting to a New Era brings together the many lessons learned from the recent crisis. Advising hedge fund managers and CFOs on how to manage the risk of their investment strategies and structure relationships to best insulate their firms and investors from the failures of financial counterparties, the book looks in detail at the various methodologies for managing hedge fund market, credit, and operational risks depending on the hedge fund's investment strategy. Also covering best practice ISDA, Prime Brokerage, Fee and Margin Lock Up, and including tips for Committed Facility lending contracts, the book includes everything you need to know to learn from the events of the past to inform your future hedge fund dealings. Shows how to manage hedge fund risk through the application of financial risk modelling and measurement techniques as well as the structuring of financial relationships with investors, regulators, creditors, and trading counterparties Written by a global finance expert, David Belmont, who worked closely with hedge fund clients during the crisis and experienced first hand what works Explains how to profit from the financial crisis In the wake of the Financial Crisis there have been calls for more stringent management of hedge fund risk, and this timely book offers comprehensive guidelines for CFOs looking to ensure world-class levels of corporate governance.
| Author | : John Kambhu |
| Publisher | : DIANE Publishing |
| Total Pages | : 214 |
| Release | : 2008-04 |
| Genre | : Business & Economics |
| ISBN | : 1428988769 |
Hedge funds have become important players in the U.S. & global capital markets. These largely unregulated funds use: a variety of complex trading strategies & instruments, in their liberal use of leverage, in their opacity to outsiders, & in their convex compensation structure. These differences can exacerbate market failures associated with agency problems, externalities, & moral hazard. Counterparty credit risk mgmt. (CCRM) practices are the first line of defense against market disruptions with potential systemic consequences. This article examines how the unique nature of hedge funds may generate market failures that make CCRM for exposures to the funds intrinsically more difficult to manage, both for regulated institutions & for policymakers. Ill.
| Author | : Armelle Guizot |
| Publisher | : John Wiley & Sons |
| Total Pages | : 466 |
| Release | : 2006-10-25 |
| Genre | : Business & Economics |
| ISBN | : 0470086041 |
The Hedge Fund Compliance and Risk Management Guide provides you with a broad examination of the most important compliance and risk management issues associated with today’s hedge funds. Straightforward and accessible, this invaluable resource covers everything from how hedge funds continue to generate lucrative returns to why some use sophisticated instruments and financial engineering to get around fundamental regulatory laws.
| Author | : Francois Duc |
| Publisher | : John Wiley & Sons |
| Total Pages | : 262 |
| Release | : 2010-04-01 |
| Genre | : Business & Economics |
| ISBN | : 0470740795 |
This book provides a cutting edge introduction to market risk management for Hedge Funds, Hedge Funds of Funds, and the numerous new indices and clones launching coming to market on a near daily basis. It will present the fundamentals of quantitative risk measures by analysing the range of Value-at-Risk (VaR) models used today, addressing the robustness of each model, and looking at new risk measures available to more effectively manage risk in a hedge fund portfolio. The book begins by analysing the current state of the hedge fund industry - at the ongoing institutionalisation of the market, and at its latest developments. It then moves on to examine the range of risks, risk controls, and risk management strategies currently employed by practitioners, and focuses on particular risks embedded in the more classic investment strategies such as Long/Short, Convertible Arbitrage, Fixed Income Arbitrage, Short selling and risk arbitrage. Addressed along side these are other risks common to hedge funds, including liquidity risk, leverage risk and counterparty risk. The book then moves on to examine more closely two models which provide the underpinning for market risk management in investment today - Style Value-at-Risk and Implicit Value-at-Risk. As well as full quantitative analysis and backtesting of each methodology, the authors go on to propose a new style model for style and implicit Var, complete with analysis, real life examples and backtesting. The authors then go on to discuss annualisation issues and risk return before moving on to propose a new model based on the authors own Best Choice Implicit VaR approach, incorporating quantitative analysis, market results and backtesting and also its potential for new hedge fund clone products. This book is the only guide to VaR for Hedge Funds and will prove to be an invaluable resource as we embark into an era of increasing volatility and uncertainty.
| Author | : Douglas Cumming |
| Publisher | : Oxford University Press |
| Total Pages | : 560 |
| Release | : 2021-10-26 |
| Genre | : Business & Economics |
| ISBN | : 0192577700 |
The Oxford Handbook of Hedge Funds provides a comprehensive overview of the hedge fund industry from a global perspective, bringing together insights from theoretical and applied research. The book seeks to both introduce the industry and what it does to scholars and practitioners new to the area, and to provide more advanced insights to those with extensive expertise in the area. The handbook explains the main context in which hedge funds operate, how the raise capital, and their structure and governance. It evaluates the main factors that have affected the operation of hedge funds, including competition from mutual funds, the market environment, and financial regulation, explains key concepts such as hedge fund flows, and core issues of practice, such as hedge fund manager fees. This volume provides insights into the principle head fund strategies and how these have changed over the years. The behavioural dimensions of hedge fund behaviour are evaluated, as are fintech's consequences. The volume evaluates the effects of hedge funds on the firms they invest in, in terms of internal governance, strategy and practice. Furthermore, it explores a range of ethical issues around the operation of hedge funds, how they fit within the wider political economy, and changes in hedge fund regulation and taxation strategies.
| Author | : Jason A. Scharfman |
| Publisher | : John Wiley & Sons |
| Total Pages | : 379 |
| Release | : 2008-12-03 |
| Genre | : Business & Economics |
| ISBN | : 0470466170 |
How to diagnose and monitor key hedge fund operational risks With the various scandals taking place with hedge funds, now more than ever, both financial and operational risks must be examined. Revealing how to effectively detect and evaluate often-overlooked operational risk factors in hedge funds, such as multi-jurisdictional regulatory coordination, organizational nesting, and vaporware, Hedge Fund Operational Due Diligence includes real-world examples drawn from the author's experiences dealing with the operational risks of a global platform of over 80 hedge funds, funds of hedge funds, private equity, and real estate managers.
| Author | : Philip J. Romero |
| Publisher | : Business Expert Press |
| Total Pages | : 146 |
| Release | : 2014-08-22 |
| Genre | : Business & Economics |
| ISBN | : 1631570900 |
What Hedge Funds Do provides a needed complement to journalistic accounts of the hedge fund industry, to deepen the understanding of non-specialist readers such as policymakers, journalists, and individual investors. What do hedge funds really do? These lightly-regulated funds continually innovate new investing and trading strategies to take advantage of temporary mispricing of assets (when their market price deviates from their intrinsic value). These techniques are shrouded in mystery, which permits hedge fund managers to charge exceptionally high fees. While the details of each funds' approach are carefully guarded trade secrets, this book draws the curtain back on the core building blocks of many hedge fund strategies Beyond the book's instructional goals, What Hedge Funds Do provides a needed complement to journalistic accounts of the hedge fund industry, to deepen the understanding of non-specialist readers such as policymakers, journalists, and individual investors. It is written by a fund practitioner and computer scientist (Balch), in collaboration with a public policy economist and finance academic (Romero).
