Distortion risk measures for hedge funds

Hélyette Geman and Cécile Kharoubi-Rakotomalala

Journal of Risk Management in Financial Institutions, 2011, vol. 4, issue 3, 286-300

Abstract: Catastrophic risk and insurance risk have required the use of specific risk measures for reinsurance companies to survive over the centuries. The goal in this paper is to apply the distortion risk measures introduced in actuarial sciences, as described by Wang (2000) in the Journal of Risk and Insurance, Vol. 67, No. 1, pp. 15–36, to the assessment of hedge funds risk. An empirical analysis of the Hedge Funds Research daily database over the period 2003–09 exhibits that these measures outperform the value-at-risk (VaR) or even extreme value-at-risk (EVaR) approaches in the capture of tail risks.

Keywords: value-at-risk; distortion risk measure; hedge funds; tail risk; C16; D81; D84; G11 (search for similar items in EconPapers)
JEL-codes: E5 G2 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:aza:rmfi00:y:2011:v:4:i:3:p:286-300

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