La VaR EVT: une mesure fiabledu risque extrême des hedge funds

Emmanuelle Fromont ()
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Emmanuelle Fromont: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique

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Abstract: The main goal of this paper is to prove extreme value theory is useful to evaluate the mostpotential lose of hedge funds (VaREVT ). Using a Backtesting procedure, we estimate theadequacy of Value-at-Risk estimated from Generalised Pareto Distribution fitting to extremeloses lying beyond certain threshold that marks the beginning of tail regions. We determinewhether the hit sequence of the VaR measure satisfies the properties of unconditionalcoverage and independence. The accuracy of the VaR model at several quantiles rather than asingle quantile is also tested. Moreover, results of this research can enable to underline theweakness of the traditional measures used to estimate the extreme risk of hedge funds.Empirical evidence suggests the use of VaREVT is pertinent in the case of hedge fundswhereas the other measures may lead to underestimate or overestimate the extreme risk ofthese vehicles.

Keywords: hedge funds; VaR; Risque extrême; backtesting; Extrem Risk (search for similar items in EconPapers)
Date: 2007-07
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Published in Banque & Marchés, 2007, 89, pp.28-36

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00168256

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