We measure the loss potential of Hedge Funds by combining three market risk measures: VaR, Draw-Down and Time Under … results clearly state that market risk may be substantially underestimated by those models which assume Normality or, even … considering Non-Normality, neglect to model time- dependence. Moreover, VaR is an incomplete measure of market risk whenever the …

which the risk management and hedging needs of investors may be effectively met through the derivative instruments. However …

a two-state world, implies that haircuts will adjust to render all lending riskless, and that a loss of risk capital on … default risk is in the form of higher default premia. Further, with high initial leverage, reductions in risk capital decrease …

traditional risk/return ratios. The examined period is from 1990 to 2011 and the data were provided by Hedge Fund Research. It is …

returns are close to empirically observed average fund returns for moderately risk tolerant LPs with private equity … allocations up to 40%. Likewise, optimal portfolio allocations for these LPs are similar to those observed in practice. More risk …

It is widely accepted that risk is a constant of the human activity in general. From this perspective, the expansion of … business across country borders requires identification, assessment and brief analysis of the overall risk that operators would … face in a targeted national economy.Country risk is the one that shows in a general manner the international business risks …

Structure and stability of private equity market risk are still nearly unknown, since market prices are mostly … show that aggregate market risk varies strongly over time and is positively correlated with the market return variance …. Cross-sections of market risk are highly unstable, whereas ranks of individual vehicles within yearly subsamples change …