References (20)



An Empirical Investigation of the VaR of Hedge Funds

Jerome Teiletche



affiliation not provided to SSRN

August 2006

We compare the performance of several Value-at-Risk (VaR) models when applied to a high frequency hedge fund index. Our analysis is carried out on the Barclay/Calyon CTA daily index available since early 2000. We use 1-day-ahead VaR forecasts for various thresholds (10%, 5% and 1%) and apply univariate and multivariate VaR backtesting procedures. Our results show that the efficiency of VaR forecasts primarily depends on the type of quantiles used for computing VaR forecasts. The choice of the model used to forecast volatility (simple smoothing average, EWMA, symmetric or asymmetric GARCH models) proves much less important in that specific case. Our results also show that the most flexible form is the Cornish-Fisher expansion for 10% and 5% thresholds, whereas Student quantiles are the best to forecast efficiently 1% VaRs.

Number of Pages in PDF File: 22

Keywords: Value at Risk, Hedge Funds, GARCH, Backtesting

JEL Classification: C16, C52, G10, G23

Download This Paper

Date posted: March 25, 2008  

Suggested Citation

Teiletche, Jerome and POCHON, FLORENT, An Empirical Investigation of the VaR of Hedge Funds (August 2006). Available at SSRN: http://ssrn.com/abstract=1113062 or http://dx.doi.org/10.2139/ssrn.1113062

Contact Information

Jerome Teiletche (Contact Author)
Unigestion ( email )
8c, avenue de Champel CP 387
CP 387
Genève 12, CH 1211
affiliation not provided to SSRN
Feedback to SSRN

Paper statistics
Abstract Views: 1,555
Downloads: 370
Download Rank: 47,920
References:  20

© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.234 seconds