Date
2009-01
Indexation documentaire
Economie financière
Subject
share index; Hedge fund strategies; dependence; tail dependence; copula; bivariate Value at Risk
Code JEL
G23; C15; C14; C13
Titre du colloque
26ème journée internationales d'économie monétaire et financière
Date du colloque
06-2009
Ville du colloque
Orléans
Pays du colloque
France
Auteur
Bedoui, Rihab
Ben Dbabis, Makram
Type
Communication / Conférence
Nombre de pages du document
21
Résumé en anglais
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.