Predicting Hedge Fund Failure: A Comparison of Risk Measures

By Bing Liang, Hyuna Park. Journal of Financial and Quantitative Analysis, 2009

122 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/13b621b716e862e63d242799ec53d186c1698719

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Stefan Ruenzi
2. F. Weigert
3. Vikas Agarwal
4. Melvyn Teo
5. Claudia Czado
6. Martin Eling
7. Narayan Naik
8. William Fung

In Finance

1. Stefan Ruenzi
2. F. Weigert
3. Vikas Agarwal
4. Melvyn Teo
5. Claudia Czado
6. Andrew J. Patton
7. Martin Eling
8. Narayan Naik

Citations in the corpus

• Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings (2017, methodology): “ES has been used in several hedge fund studies as a univariate risk measure to account for downside risk (see, e.g., Agarwal and Naik (2004) and Liang and Park (2007, 2010) for a discussion of the superiority of ES over VaR).”