Managing currency risk for emerging markets hedge funds:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
2005
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | München, Univ., Diss., 2006 |
| Beschreibung: | 104 S. graph. Darst. |
Internformat
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Datensatz im Suchindex
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| adam_text | Contents
1 Introduction 5
2 On Hedge Funds 7
2.1 Overview and Characteristics 7
2.2 Relevance, Performance and Market Inefficiencies 11
2.3 Strategies and Styles 14
3 Emerging Markets Hedge Funds and Currency Risk 19
3.1 The Emerging Markets Strategy 19
3.2 Risk Categories for Emerging Markets Investments 23
3.3 The Concept of Value at Risk 24
3.4 Review of Literature on Distribution Models 27
4 Two Distribution Models for Emerging Markets Foreign Exchange VaR 31
4.1 Data Description and Summarized Statistics 31
4.2 Standard Normal Model 40
4.3 Normal Mixture Model 45
5 Model Assessment, Hedge Fund Simulation and Empirical Results 53
5.1 Model Assessment 53
5.2 Empirical Results 58
5.3 Hedge Fund Simulations 60
5.4 Empirical Results 67
6 Implications for Emerging Markets Hedge Funds and Risk Managers 71
7 Summary 77
|
| adam_txt |
Contents
1 Introduction 5
2 On Hedge Funds 7
2.1 Overview and Characteristics 7
2.2 Relevance, Performance and Market Inefficiencies 11
2.3 Strategies and Styles 14
3 Emerging Markets Hedge Funds and Currency Risk 19
3.1 The Emerging Markets Strategy 19
3.2 Risk Categories for Emerging Markets Investments 23
3.3 The Concept of Value at Risk 24
3.4 Review of Literature on Distribution Models 27
4 Two Distribution Models for Emerging Markets Foreign Exchange VaR 31
4.1 Data Description and Summarized Statistics 31
4.2 Standard Normal Model 40
4.3 Normal Mixture Model 45
5 Model Assessment, Hedge Fund Simulation and Empirical Results 53
5.1 Model Assessment 53
5.2 Empirical Results 58
5.3 Hedge Fund Simulations 60
5.4 Empirical Results 67
6 Implications for Emerging Markets Hedge Funds and Risk Managers 71
7 Summary 77 |
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| spelling | Seifert, Stephanie Verfasser aut Managing currency risk for emerging markets hedge funds vorgelegt von Stephanie Seifert 2005 104 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier München, Univ., Diss., 2006 Währungsrisiko (DE-588)4064157-0 gnd rswk-swf Hedge Fund (DE-588)4444016-9 gnd rswk-swf Schwellenländer (DE-588)4053920-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Schwellenländer (DE-588)4053920-9 g Hedge Fund (DE-588)4444016-9 s Währungsrisiko (DE-588)4064157-0 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014791730&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| title | Managing currency risk for emerging markets hedge funds |
| title_auth | Managing currency risk for emerging markets hedge funds |
| title_exact_search | Managing currency risk for emerging markets hedge funds |
| title_exact_search_txtP | Managing currency risk for emerging markets hedge funds |
| title_full | Managing currency risk for emerging markets hedge funds vorgelegt von Stephanie Seifert |
| title_fullStr | Managing currency risk for emerging markets hedge funds vorgelegt von Stephanie Seifert |
| title_full_unstemmed | Managing currency risk for emerging markets hedge funds vorgelegt von Stephanie Seifert |
| title_short | Managing currency risk for emerging markets hedge funds |
| title_sort | managing currency risk for emerging markets hedge funds |
| topic | Währungsrisiko (DE-588)4064157-0 gnd Hedge Fund (DE-588)4444016-9 gnd |
| topic_facet | Währungsrisiko Hedge Fund Schwellenländer Hochschulschrift |
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