Do hedge funds have enough capital? A value-at-risk approach

• 成果类型: Article
• 署名作者: Gupta, A; Liang, B
• 署名单位: University System of Ohio; Case Western Reserve University; University of Massachusetts System; University of Massachusetts Amherst
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.06.005
• 发表日期: 2005
• 页码: 219-253
• 关键词: HEDGE FUNDS; Value-at-risk; capital adequacy; extreme value theory; Monte Carlo simulation

摘要

We examine the risk characteristics and capital adequacy of hedge funds through the Value-at-Risk approach. Using extensive data on nearly 1,500 hedge funds, we find only 3.7% live and 10.9% dead funds are undercapitalized as of March 2003. Moreover, the undercapitalized funds are relatively small and constitute a tiny fraction of total fund assets in our sample. Cross-sectionally, the variability in fund capitalization is related to size, investment style, age, and management fee. Hedge fund risk and capitalization also display significant time variation. Traditional risk measures like standard deviation or leverage ratios fail to detect these trends. (c) 2005 Elsevier B.V. All rights reserved.