Citations (1)


Footnotes (4)



Does Risk Management Work?

Gavin Cassar


Joseph Gerakos

University of Chicago - Booth School of Business

February 4, 2013

Chicago Booth Research Paper No. 13-13
26th Australasian Finance and Banking Conference 2013
Fama-Miller Working Paper

Although there has been substantial growth in the use of formal risk management systems, there is minimal empirical evidence of their benefits. To evaluate the effectiveness of risk management, we investigate the methods that hedge funds use to manage risk and their performance outcomes. Consistent with risk management practices reducing left-tail risk, funds in our sample that use formal models performed significantly better in the extreme down months of 2008. We find no evidence that having a dedicated head of risk management is associated with reduced left-tail risk. Funds employing VaR had more accurate expectations of how they would perform in a short-term equity bear market.

Number of Pages in PDF File: 101

Keywords: hedge funds, risk management, expectations, performance

Open PDF in Browser Download This Paper

Date posted: December 9, 2010 ; Last revised: December 26, 2013

Suggested Citation

Cassar, Gavin and Gerakos, Joseph, Does Risk Management Work? (February 4, 2013). Chicago Booth Research Paper No. 13-13; 26th Australasian Finance and Banking Conference 2013; Fama-Miller Working Paper. Available at SSRN: http://ssrn.com/abstract=1722250 or http://dx.doi.org/10.2139/ssrn.1722250

Contact Information

Gavin Cassar (Contact Author)
INSEAD ( email )
Boulevard de Constance
77305 Fontainebleau Cedex
HOME PAGE: http://www.insead.edu/facultyresearch/faculty/profiles/gcassar/

Joseph J. Gerakos
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Ave.
Chicago, IL 60637
United States
773-834-6882 (Phone)
Feedback to SSRN

Paper statistics
Abstract Views: 6,380
Downloads: 1,749
Download Rank: 5,880
Citations:  1
Footnotes:  4

© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollobot1 in 0.235 seconds