Are VaR models effective in capturing downside risk in alternative investment funds? : insights from a cross-country study
Amrit Panda and Soumya Guha Deb
| Year of publication: |
2024
|
|---|---|
| Authors: | Panda, Amrit ; Deb, Soumya Guha |
| Subject: | Alternative investment fund (AIFs) | backtesting | GARCH | Value-at-Risk (VaR) | Investmentfonds | Investment Fund | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Hedgefonds | Hedge fund | VAR-Modell | VAR model | Private Equity | Private equity | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786323500445 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014574970