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The objective of this study is to analyze various risks which may arise in managing hedge funds and to further derive out effective risk management methods of those risks. From the global perspective, hedge funds were introduced decades ago and have been quite well advanced in the financial fields. However, unique aspects of hedge funds in the nonlinear and nonnormal payoffs have incurred many failures as well. Compared with a long history of hedge funds in the developed financial markets, Korea began to allow hedge funds to float in the markets only from 2011. Since the introduction of hedge funds in Korea, the size and variety have been increased significantly, even still far behind those of the advanced countries. However, since many limits and regulations on hedge fund industry are about to be lifted and relaxed from October 2015, numerous asset management firms are planning to jump in this market. As an investment vehicle, new opportunities in this sector could be accompanied by many new and unseen risks. This study maps out various risks associated with hedge funds such as market risk, credit risk, liquidity risk, operational risk, reputation risk, and other risks depending upon the styles and strategies of hedge funds. Then various risk measures are compared and evaluated. Finally, it offers some effective risk management methods.
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참고문헌 (29)
참고문헌 신청
Agarwal, V. / 2004 / Risks and Portfolio DecisionsInvolving Hedge Funds / Review of Financial Studies 17 : 63 ~ 98
Agarwal, V. / 2009 / Role of Managerial Incentives and Discretion in Hedge Fund Performance / Journal of Finance 64 : 2221 ~ 2256
Agarwal, V. / 2013 / Inferring Reporting-related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings / Management Science 59 : 1271 ~ 1289
Ang, A. / 2006 / Downside Risk / Review of Financial Studies 19 : 1191 ~ 1239
Aragon, G. / 2012 / A Unique View of Hedge Fund Derivatives Usage : Safeguard or Speculation? / Journal of Financial Economics 105 : 436 ~ 456
Agarwal, V. / 2009 / Role of Managerial Incentives and Discretion in Hedge Fund Performance / Journal of Finance 64 : 2221 ~ 2256
Agarwal, V. / 2013 / Inferring Reporting-related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings / Management Science 59 : 1271 ~ 1289
Ang, A. / 2006 / Downside Risk / Review of Financial Studies 19 : 1191 ~ 1239
Aragon, G. / 2012 / A Unique View of Hedge Fund Derivatives Usage : Safeguard or Speculation? / Journal of Financial Economics 105 : 436 ~ 456
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