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Date: November 2009 |
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- Showing items 1-40 of 1694
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Risk Analysis and Capital Adequacy of Hedge Funds
The article examines the risk characteristics and capital adequacy of hedge funds using Value-at-Risk (based on Extreme Value Theory) as the criterion for measuring risk...
Company: Center for International Securities and Derivatives Markets
Date: October 2003 |
Center for International Securities and Derivatives Markets |
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On the Performance of Alternative Investments: CTAs, Hedge Funds, and Funds-of-Funds
This paper examines alternative investment vehicles such as hedge funds, funds-of-funds, and commodity trading advisors (CTAs) by investigating their performance, risk, and fund characteristics. Differing...
Company: Center for International Securities and Derivatives Markets
Date: November 2003 |
Center for International Securities and Derivatives Markets |
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Intermediary Risk In The Indirect Holding System For Securities
This article simplifies certain terminology referring to a transaction with more than one securities intermediary. First, the term "investors" generally deemed to include not only...
Company: Steven L. Schwarcz and Joanna Benjamin
Date: January 2003 |
Steven L. Schwarcz and Joanna Benjamin |
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Hedge Funds & Listed Options: Portfolio Management Strategies
A key feature of hedge funds lies in their high level of flexibility in the selection of investment, hedging and trading strategies. Equity and equity...
Company: Chicago Board Options Exchange
Date: November 2001 |
Chicago Board Options Exchange |
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European Asset Management Industry Set for Slower Profit Growth, According to Oliver, Wyman & Company and UBS Warburg
The European asset management industry faces a period of markedly lower profitability and industry profits are unlikely to return to 2001 levels until 2004, according...
Company: Mercer Oliver Wyman
Date: September 2002 |
Mercer Oliver Wyman |
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Asset Management: Winning Through Focus
Against the backdrop of the extended bear market, fund companies are facing major new challenges. In the wake of falling asset levels and industry margins,...
Company: Booz Allen Hamilton
Date: May 2003 |
Booz Allen Hamilton |
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China's Automotive and Components Market 2004
Interest in the Chinese automotive and component parts market shows no sign of abating. The market grew strongly in 2003 and there have been significant...
Company: KPMG International
Date: September 2004 |
KPMG International |
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Stocks, Bonds and Hedge Funds: Not a Free Lunch!
This paper studies the diversification effects from introducing hedge funds into a traditional portfolio of stocks and bonds. The results make it clear that in...
Company: Fund-Investors
Date: May 2002 |
Fund-Investors |
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Who Should Buy Hedge Funds?
Using monthly return data on 455 hedge funds over the period 1994-2001 we study the diversification effects from introducing hedge funds into a traditional portfolio...
Company: Fund-Investors
Date: March 2002 |
Fund-Investors |
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Asset-Based Hedge-Fund Styles and Portfolio Diversification
It is a well-documented stylized fact that hedge fund returns differ from the returns of traditional asset classes. Investors looking for alternative return characteristics in...
Company: London Business School
Date: August 2001 |
London Business School |
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Changes in the Factor Exposures of Hedge Funds
This paper seeks to shed light on the factor exposure of hedge funds by examining the loading of the returns of a sample of hedge...
Company: London Business School
Date: January 2001 |
London Business School |
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Performance Attribution and Style Analysis: From Mutual Funds to Hedge Funds Sharpe (1992) proposed an asset class factor model for performance attribution and style analysis of mutual fund managers. The elegance of Sharpe's (1992) intuition was... Company: Duke University | Duke University |
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On Taking the 'Alternative' Route: Risks, Rewards Style and Performance Persistence of Hedge Funds
Using a new database of hedge funds, this paper provides a comprehensive analysis of the risk-return characteristics, risk exposures, style analysis and performance persistence of...
Company: London Business School
Date: February 1999 |
London Business School |
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Lessons From the Collapse of Hedge Fund, Long-Term Capital Management Barings, the Russian meltdown, Metallgesellschaft, Procter & Gamble, LTCM. These are all events in the financial markets which have become marker buoys to show us... Company: International Financial Risk Institute (IFRI) | International Financial Risk Institute (IFRI) |
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How HVB Built a Convertibles Business In 2001 HVB started trading convertible bonds through a proprietary trader based in Munich. It involved spreadsheet-based pricing and analytics models and risk management and... Company: SunGard | SunGard |
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Bank of Bermuda Stays Ahead With Independent Transparent Valuations Bank of Bermuda has a presence in 17 financial centres worldwide. Its Global Fund Services business (GFS) is a leader in customised fund administration and... Company: SunGard | SunGard |
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Bright Capital: Controlling Risk With Panorama The hedge fund industry is at a key stage of its evolution. So far, it has been a niche area appealing mostly to high net... Company: SunGard | SunGard |
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STP for Carifirenze in OTC Derivatives Trading Success can bring problems. Cassa di Risparmio di Firenze (Carifirenze), a medium-sized bank in Northern Italy, had seen explosive growth in its derivatives trading operation.... Company: SunGard | SunGard |
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Hot in Hamburg: Hamburgische Landesbank This case study discusses how two years ago, Hamburgische Landesbank decided to beef up its trading of complex over-the-counter derivatives. Today, although it's only the... Company: SunGard | SunGard |
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Mutual Funds & Listed Options: Portfolio Management Strategies
Over the past thirty years, mutual funds have experienced tremendous growth. Millions of Americans currently enjoy the flexibility and investment growth these investment vehicles provide....
Company: Chicago Board Options Exchange
Date: February 2001 |
Chicago Board Options Exchange |
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White Paper on Increasing Financial Eligibility Standards for Investors in Hedge Funds
This White Paper briefly summarizes the history of the accredited investor standard and how it applies to hedge fund offerings. It also describes amendments to...
Company: Managed Funds Association
Date: July 2003 |
Managed Funds Association |
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White Paper on Registration of Hedge Fund Advisers Under The Investment Advisers Act Of 1940
In light of the objectives and the balancing of interests, the federal securities laws have always recognized that private transactions between sophisticated parties should not...
Company: Managed Funds Association
Date: July 2003 |
Managed Funds Association |
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The Impact of Operational Efficiency on Profitability
The commercial real estate lending industry has changed greatly during the past five years. Wall Street conduits, originating loans for the growing securitization market, have...
Company: Ernst & Young
Date: October 2001 |
Ernst & Young |
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Performance Evaluation and Conditioning Information: The Case of Hedge Funds It is common to measure hedge fund performance within the context of static asset pricing models. Because hedge fund managers follow highly opportunistic strategies, however,... Company: Cass Business School | Cass Business School |
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Risks in Hedge Fund Strategies: Case of Convertible Arbitrage
Using data on Japanese and US convertible bonds and underlying stocks, it analyzes the risk return characteristics of convertible arbitrage funds. The hypothesize that there...
Company: Financial Management Association International
Date: September 2004 |
Financial Management Association International |
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Recent Trends in Bank Loan Syndications: Evidence for 1995 to 1999
Bank loan syndications have become an increasingly popular and important way for commercial borrowers to satisfy their financing needs. The ability to overcome problems of...
Company: U.S. Department of the Treasury
Date: December 2000 |
U.S. Department of the Treasury |
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Should We Fear Derivatives?
This paper discusses the extent to which derivatives pose threats to firms and to the economy. After reviewing the derivatives markets and putting in perspective...
Company: National Bureau of Economic Research
Date: June 2004 |
National Bureau of Economic Research |
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How Are Derivatives Used? Evidence From the Mutual Fund Industry
Approximately 20% of the 675 equity mutual funds analyzed in this paper invest in derivatives. It compares the return distributions of equity mutual funds that...
Company: The Wharton Financial Institutions Center
Date: January 2002 |
The Wharton Financial Institutions Center |
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Do We Really Need More Regulation of Financial Derivatives?
Financial derivatives, for those who may have been too preoccupied with their own concerns to notice, come these days in basically three different flavors, like...
Company: The University of Chicago, Graduate School of Business
Date: May 2001 |
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Is the Corporate Loan Market Globally Integrated?: A Pricing Puzzle
This paper offers evidence that interest rate spreads on syndicated loans to corporate borrowers are economically significantly smaller in Europe than in the U.S. Differences...
Company: The Wharton Financial Institutions Center
Date: December 2003 |
The Wharton Financial Institutions Center |
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The Agency Structure of Loan Syndicates
The aim of this paper is to analyze the agency structure of loan syndicates in light of two alternative hypotheses. This alternative explanations induce different...
Company: Oklahoma State University
Date: June 2004 |
Oklahoma State University |
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Risk and Return in Fixed Income Arbitrage: Nickels In Front of a Steamroller?
This paper has conducted an analysis of risk and return characteristics of fixed income arbitrage. It shows that a widely-used fixed income arbitrage strategy based...
Company: University of California
Date: April 2004 |
University of California |
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Micro and Macro Structures in Fixed Income Markets: The Issues at Stake in Europe
This paper gives a brief introduction of fixed income in European markets. How these markets provide liquidity and the effectiveness by which the prices they...
Company: ECB-CFS Research Network
Date: April 2002 |
ECB-CFS Research Network |
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Fixed-Income Securities: Money-Markets & Bonds This article deals primarily with debt market instruments denominated in US dollars, including Eurodollars. Since most debt markets are similar, the principle instruments described should... Company: Ben Best | Ben Best |
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Global Fixed Income Portfolio Management
Global income investing has become very popular over the last decade as investors worldwide sought more favorable risk-return tradeoffs by combining international positions with domestic...
Company: studyfinance.com
Date: December 2000 |
studyfinance.com |
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Changes in the Domestic Fixed Income Market that Reflect the E-commerce Revolution
The E-commerce revolution and the Internet have created an explosion in access to timely data that is available to anyone, anywhere, anytime. This paper addresses...
Company: Institute for Fiduciary Education
Date: October 2000 |
Institute for Fiduciary Education |
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Performance of Canadian Fixed-Income Mutual Funds
An examination of a comprehensive and survivorship-free sample of Canadian bond funds minimizes data snooping biases arising from the repeated examination of the same (U.S.)...
Company: Technical University of Lisbon
Date: June 2004 |
Technical University of Lisbon |
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Fixed Income Excess Returns and Time to Maturity
The paper explores the relationship between fixed income excess returns and maturity differentials. In a quest to quantify this relationship, it goes beyond testing the...
Company: International Economics and Finance Society
Date: October 2000 |
International Economics and Finance Society |
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The New Beat of Equity Derivatives This paper outlines an article on equity derivatives which are capturing the spotlight with an attractive combination of risk-mitigation and yield-enhancement features. The problem insurers... Company: DerivativesStrategy.com | DerivativesStrategy.com |
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International Evidence on Financial Derivatives Usage
This paper presents international evidence on the use of financial derivatives for a sample of 7,263 non-financial firms from 48 countries including the United States....
Company: UNC's Kenan-Flagler Business School
Date: February 2004 |
UNC's Kenan-Flagler Business School |
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