to underestimate risk measures such as volatility (i.e. standard deviation). In order to encompass for such serial … random walk model with time varying parameters is largely used in the risk industry for Value-at-Risk4 purposes. Its main …

study how these endogenous effects influence traditional measures of risk-adjusted performance. We show that structural …

When an investor delegates portfolio management to a hedge fund manager, whose risk-taking preference governs? Single …-period models with option-like incentives suggest stark variation in risk-taking across fund value and time as fund managers … risk-taking surface. Cross-sectional pooling of normalized returns allows precise estimation of the normalized risk …

study how these endogenous effects influence traditional measures of risk-adjusted performance. We show that structural …

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work …