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Risk and Liquidity$
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Hyun Song Shin

Print publication date: 2019

Print ISBN-13: 9780198847069

Published to Oxford Scholarship Online: October 2019

DOI: 10.1093/oso/9780198847069.001.0001

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Boom and Bust Driven by Value-at-Risk

Boom and Bust Driven by Value-at-Risk

Chapter:
(p.28) 3 Boom and Bust Driven by Value-at-Risk
Source:
Risk and Liquidity
Author(s):

Hyun Song Shin

Publisher:
Oxford University Press
DOI:10.1093/oso/9780198847069.003.0003

An example of a hedge fund illustrates a long-short strategy that maximises expected returns subject to a Value-at-Risk strategy. Balance sheet capacity depends on the measured volatility of asset returns and the book equity of the long-short hedge fund. The principles are illustrated by the case of Long Term Capital Management (LTCM).

Keywords:   Margin spirals, book equity, leverage, long-short strategy hedge funds, Long Term Capital Management (LTCM)

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