Review of Accounting Studies · 12 May 2017

风险管理措施有效吗？从对冲基金得到的证据

作者：Gavin Cassar (INSEAD), Joseph Gerakos (Tuck School of Business at Dartmouth College)

摘要：我们研究对冲基金风险管理的措施以及它与2008年金融危机时期左尾部风险之间的关系。与风险管理措施能降低左尾部风险结论一致，样本中使用了标准的风险模型基金在2008年的极端月份中表现得更好。我们没有发现证据能够表明有仓位限制或专门的风险管理部负责人与左尾部风险降低有关。运用风险价值（VaR）模型的基金对于自身在短期熊市的表现有更准确的预期。

关键词：风险管理，对冲基金，金融危机

Do risk management practices work? Evidence from hedge funds

Gavin Cassar (INSEAD), Joseph Gerakos (Tuck School of Business at Dartmouth College)

ABSTRACT

We examine hedge fund risk management practices and their association with left-tail risk during the 2008 financial crisis. Consistent with risk management practices reducing left-tail risk, funds in our sample that use formal risk models performed significantly better in the extreme down months of 2008. We find no evidence that having either position limits or a dedicated head of risk management is associated with reduced left-tail risk. Funds employing value at risk models had more accurate expectations of how they would perform in a short-term equity bear market.

Keywords: Risk management，Hedge funds，Financial crisis

原文链接：

https://link.springer.com/article/10.1007/s11142-017-9403-5

翻译：黄涛