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Copulas and bivariate Risk measures : an application to hedge funds

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bendbadis.PDF (379.7Kb)
Date
2009-01
Dewey
Economie financière
Sujet
share index; Hedge fund strategies; dependence; tail dependence; copula; bivariate Value at Risk
JEL code
G23; C15; C14; C13
Conference name
26ème journée internationales d'économie monétaire et financière
Conference date
06-2009
Conference city
Orléans
Conference country
France
URI
https://basepub.dauphine.fr/handle/123456789/3346
Collections
  • DRM : Publications
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Author
Bedoui, Rihab
Ben Dbabis, Makram
Type
Communication / Conférence
Item number of pages
21
Abstract (EN)
With hedgefunds, managers develop risk management models that mainly aim to play on the effect of de correlation.In order to achieve this goal,companies use the correlation coefficient as an indicator for measuring dependencies existing between(i)the various hedge funds strategies and share index returns and(ii)hedge funds strategies against each other.Otherwise, copulas are a statistic tool to model the dependence in a realistic and less restrictive way,taking better account of the stylized facts in finance.This paper is a practical implementation of the copulas theory to model dependence between differen the hedgefund strategies and share index returns and between these strategies in relation to each other on a "normal" period and a period during which the market trend is downward. Our approach based on copulas allows us to determine the bivariate VaR level curves and to study extremal dependence between hedgefunds strategies and share index returns through the use of some tail dependence measures which can be made into useful portfolio management tools.

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