Do Hedge Funds Have Enough Capital? A Value-at-Risk Approach

By Anurag Gupta, Bing Liang. 2005

140 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4677b4515a2836f844c4bf0094ca986408e158c0

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. M. O. Caglayan
2. Wing-Keung Wong
3. Stephen J. Brown
4. K. Phoon
5. Hooi Hooi Lean
6. Turan G. Bali
7. P. Ouimet
8. David J. Brophy

In Finance

1. M. O. Caglayan
2. Stephen J. Brown
3. Wing-Keung Wong
4. Turan G. Bali
5. K. Phoon
6. Hooi Hooi Lean
7. Clemens Sialm
8. P. Ouimet

Citations in the corpus

• Are "Market Neutral" Hedge Funds Really Market Neutral? (2009, unknown): “f (rit, rmt) = fi (rit) · fm (rmt) · c (Fi (rit) , Fm (rmt)) (28)”
• Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns? (2011, background): “The results in Jagannathan and Korajczyk (1986) and Goetzmann et al.”
• Stochastic dominance analysis of Asian hedge funds (2008, background): “Gupta and Liang (2005) examined the risk characteristics and capital adequacy of hedge funds through the VaR approach.”
• Hedge Funds as Investors of Last Resort (2009, background): “1 Other studies on private placements include Wruck (1989); Hertzel and Smith (1993); Hertzel, Lemmon, Linck, and Rees (2002); Hillion and Vermaelen (2004); Wu (2004); Krishnamurthy, Spindt, Subramaniam, and Woidtke (2005); Wu, Wang, and Yao (2005); Chou, Gombola, and Liu (2004); Barclay, Holderness”