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Year of publication
Subject
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Leverage 1 Unencumbered cash 1 funding counterparties 1 funding option 1 hair cuts 1 margin multiplier 1 prime brokers 1 redemption option 1
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Dai, John 1 Sundaresan, Suresh 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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RePEc 1
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Risk Management Framework for Hedge Funds: Role of Funding and Redemption Options on Leverage
Dai, John; Sundaresan, Suresh - Volkswirtschaftliche Fakultät, … - 2009
We develop a model of hedge fund returns, which reflect the contractual relationships between a hedge fund, its investors and its prime brokers. These relationships are modelled as short option positions held by the hedge fund, wherein the “funding option” reflects the short option position...
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