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dc.contributor.authorBedoui, Rihab
dc.contributor.authorBen Dbabis, Makram
dc.date.accessioned2010-02-09T11:14:00Z
dc.date.available2010-02-09T11:14:00Z
dc.date.issued2009-01
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/3346
dc.language.isoenen
dc.subjectshare indexen
dc.subjectHedge fund strategiesen
dc.subjectdependenceen
dc.subjecttail dependenceen
dc.subjectcopulaen
dc.subjectbivariate Value at Risken
dc.subject.ddc332en
dc.subject.classificationjelG23en
dc.subject.classificationjelC15en
dc.subject.classificationjelC14en
dc.subject.classificationjelC13en
dc.titleCopulas and bivariate Risk measures : an application to hedge fundsen
dc.typeCommunication / Conférence
dc.contributor.editoruniversityotherUniversité Paris X Nanterre;France
dc.description.abstractenWith 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.en
dc.identifier.citationpages21en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle26ème journée internationales d'économie monétaire et financièreen
dc.relation.confdate2009-06
dc.relation.confcityOrléansen
dc.relation.confcountryFranceen


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