Achim Peijan

UBS Wealth Managment Research

Executive Director

Zurich, CH-8098

Switzerland

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Scholarly Papers (1)

1.

Measuring Loss Potential of Hedge Fund Strategies

Number of pages: 25 Posted: 04 Jan 2005
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and UBS Wealth Managment Research
Downloads 6,613 (1,328)

Abstract:

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Hedge Fund, Value-at-Risk, risk, performance, drawdown, under-the-water, normal returns, non-normal returns, time-dependence, ARMA, Monte Carlo, skewness, kurtosis, mixture of gaussian distributions, survival probability, styles, investment strategies