Do Hedge Funds Have Enough Capital
نویسندگان
چکیده
In this paper, we examine the risk characteristics and capital adequacy of hedge funds using Value-at-Risk (based on Extreme Value Theory) as the criterion for measuring risk and estimating capital requirements. Using extensive data on nearly thirteen hundred live and dead hedge funds, we find that the vast majority of funds are adequately capitalized. In addition, a large fraction of hedge funds maintain risk profiles comparable to that of an equivalent investment in a broad equity market index (like the S&P 500). From the perspective of capital adequacy concerns, our results lend support to the arguments against stricter regulation and oversight of the hedge fund industry, in contrast to some regulators’ desire and inclination towards increased regulation. JEL Classification: G23; G28; G29
منابع مشابه
Do Hedge Funds Have Enough Capital? A Value at Risk Approach
In this paper, we examine the risk characteristics and capital adequacy of hedge funds using Value-at-Risk (VaR) as the criterion for measuring risk and estimating capital requirements. We find that a vast majority of hedge funds are adequately capitalized, with the level of under-capitalization being only 3.1% for live funds and 7.5% for dead funds. Using extreme value theory, we confirm that ...
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