Do hedge funds have enough capital? A value-at-risk approach

Journal of Financial Economics

Volumn 77, Issue 1, 2005, Pages 219-253

  Gupta, Anurag ^a   Liang, Bing ^b  

^a CASE WESTERN RESERVE UNIVERSITY   (United States)

^b UNIVERSITY OF MASSACHUSETTS   (United States)

Author keywords

Capital adequacy; Extreme value theory; Hedge funds; Monte Carlo simulation; Value at Risk

Indexed keywords

EID: 20444497712     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2004.06.005     Document Type: Article

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