Essec\Faculty\Model\Contribution {#2206
#_index: "academ_contributions"
#_id: "14371"
#_source: array:26 [
"id" => "14371"
"slug" => "plenary-speaker-efficient-estimation-in-extreme-value-regression-models-of-hedge-fund-tail-risk"
"yearMonth" => "2023-08"
"year" => "2023"
"title" => "[Plenary speaker] Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risk"
"description" => "HAMBUCKERS, J., KRATZ, M. et USSEGLIO-CARLEVE, A. (2023). [Plenary speaker] Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risk. Dans: 2023 JAFEE-ISM International Symposium. Tokyo."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "HAMBUCKERS Julien"
]
2 => array:1 [
"name" => "USSEGLIO-CARLEVE Antoine "
]
]
"ouvrage" => "2023 JAFEE-ISM International Symposium"
"keywords" => array:3 [
0 => "Extreme value theory"
1 => "generalized Pareto regression"
2 => "censored maximum likelihood"
]
"updatedAt" => "2024-05-16 11:48:18"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Invité dans une conférence académique (Keynote speaker)"
"en" => "Invited speaker at an academic conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We introduce a method to estimate simultaneously the tail and the threshold parameters of an extreme value regression model. This standard model finds its use in finance to assess the effect of market variables on extreme loss distributions of investment vehicles such as hedge funds. However, a major limitation is the need to select ex ante a threshold below which data are discarded, leading to estimation inefficiencies. To solve these issues, we extend the tail regression model to non-tail observations with an auxiliary splicing density, enabling the threshold to be selected automatically. We then apply an artificial censoring mechanism of the likelihood contributions in the bulk of the data to decrease specification issues at the estimation stage. We illustrate the superiority of our approach for inference over classical peaks-over-threshold methods in a simulation study. Empirically, we investigate the determinants of hedge fund tail risks over time, using pooled returns of 1,484 hedge funds. We find a significant link between tail risks and factors such as equity momentum, financial stability index, and credit spreads. Moreover, sorting funds along exposure to our tail risk measure discriminates between high and low alpha funds, supporting the existence of a fear premium."
"en" => "We introduce a method to estimate simultaneously the tail and the threshold parameters of an extreme value regression model. This standard model finds its use in finance to assess the effect of market variables on extreme loss distributions of investment vehicles such as hedge funds. However, a major limitation is the need to select ex ante a threshold below which data are discarded, leading to estimation inefficiencies. To solve these issues, we extend the tail regression model to non-tail observations with an auxiliary splicing density, enabling the threshold to be selected automatically. We then apply an artificial censoring mechanism of the likelihood contributions in the bulk of the data to decrease specification issues at the estimation stage. We illustrate the superiority of our approach for inference over classical peaks-over-threshold methods in a simulation study. Empirically, we investigate the determinants of hedge fund tail risks over time, using pooled returns of 1,484 hedge funds. We find a significant link between tail risks and factors such as equity momentum, financial stability index, and credit spreads. Moreover, sorting funds along exposure to our tail risk measure discriminates between high and low alpha funds, supporting the existence of a fear premium."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2024-11-04T22:21:43.000Z"
"docTitle" => "[Plenary speaker] Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risk"
"docSurtitle" => "Invité dans une conférence académique (Keynote speaker)"
"authorNames" => "<a href="/cv/kratz-marie">KRATZ Marie</a>, HAMBUCKERS Julien, USSEGLIO-CARLEVE Antoine "
"docDescription" => "<span class="document-property-authors">KRATZ Marie, HAMBUCKERS Julien, USSEGLIO-CARLEVE Antoine </span><br><span class="document-property-authors_fields">Systèmes d'Information, Data Analytics et Opérations</span> | <span class="document-property-year">2023</span>"
"keywordList" => "<a href="#">Extreme value theory</a>, <a href="#">generalized Pareto regression</a>, <a href="#">censored maximum likelihood</a>"
"docPreview" => "<b>[Plenary speaker] Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risk</b><br><span>2023-08 | Invité dans une conférence académique (Keynote speaker) </span>"
"docType" => "research"
"publicationLink" => "<a href="#" target="_blank">[Plenary speaker] Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risk</a>"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 8.494784
+"parent": null
}