Hedge fund and market risk: new concepts and models, beyond VaR

Maria Debora Braga
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Maria Debora Braga: Università della Valle d’Aosta e SDA Bocconi

BANCARIA, 2009, vol. 9, 76-87

Abstract: Current developments of hedge funds market demonstrate the relevance of operative and market risk exposure measurement. VaR represents the more widespread approach adopted for measuring the market risk and it could be used jointly with other measures in order to overcome some forecasting limits of traditional approaches. The Modified VaR and moreover the EVT VaR seem to be more effective , even if more complex.

Keywords: hedge funds; VaR; misure di rischio (search for similar items in EconPapers)
JEL-codes: C53 G11 G17 G20 (search for similar items in EconPapers)
Date: 2009
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