Essays on Hedge Funds, Operational Risk, and Commodity Trading Advisors

Essays on Hedge Funds, Operational Risk, and Commodity Trading Advisors

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Operational risk is a major cause of hedge fund and CTA liquidation. In the banking industry, regulators have called upon institutions to develop models for measuring capital charge for operational losses, and to subject these models to stress testing. Losses are found to be inversely related to GDP growth, and positively related to unemployment. Since losses are thus cyclical, one way to stress test models is to calculate capital charge during good and bad economic regimes. We find loss distributions to have thicker tails during bad regimes. One implication is that banks will likely need to increase their capital charge when economic conditions deteriorate.Operational risk is a major cause of hedge fund and CTA liquidation.


Title:Essays on Hedge Funds, Operational Risk, and Commodity Trading Advisors
Author: Fabrice Rouah
Publisher:ProQuest - 2007
ISBN-13:

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