A value‐at‐risk computation based on heavy‐tailed distribution for dynamic conditional score models

Author(s):  
Mohamed El Ghourabi ◽  
Asma Nani ◽  
Imed Gammoudi
CFA Digest ◽  
1999 ◽  
Vol 29 (2) ◽  
pp. 76-78
Author(s):  
Thomas J. Latta

2019 ◽  
pp. 28-55
Author(s):  
Hyun Song Shin

An example of a hedge fund illustrates a long-short strategy that maximises expected returns subject to a Value-at-Risk strategy. Balance sheet capacity depends on the measured volatility of asset returns and the book equity of the long-short hedge fund. The principles are illustrated by the case of Long Term Capital Management (LTCM).


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