Parametric Value at Risk models for hedge fund application
Micallef, Pierre (2008) Parametric Value at Risk models for hedge fund application. [Dissertation (University of Nottingham only)] (Unpublished)
Recent events over the last year with regards to the US sub-prime crisis and the collapse of three major hedge funds, Bear Stearns, UBS's- Dillon Read Capital Management and Focus Capital, have highlighted that it is a common misconception within finance that extreme events have negligible probability.
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