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Quantification of Hedge Fund Default Risk.
Auteurs :
Corentin Christory
Quantitative Analyst with Olympia Capital Management and former Quant Trainee with E.I.M. S.A
Stéphane 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-René Giraud
Director of Development and Research Associate with the EDHEC Risk and Asset Management Research Centre
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.
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.
- Type :
- Position Paper
- Dates :
- Créé le 2 janvier 2007
- Complément d'informations :
- 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.
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