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valeur au risque / value at risk --- valeur au risque / value at risk

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Diversification. --- Risk measures. --- Solvency capital requirements. --- Subadditivity. --- Value-at-risk.

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Exchange traded funds (ETFs) are collective investment vehicles that have known a growing interest over the past years. Yet, only a few studies were dedicated to the measurement of their performance. In this thesis, I examine one of the most widely used performance measure for passive management, the information ratio. I analyze its weaknesses and assumptions, and justify the need for a new performance measure that will be applicable to ETFs. The information ratio does not work well when the tracking difference is negative and it does not take into account the magnitude of the tracking error (Roncalli, 2014). Moreover, it assumes that the excess returns are normally distributed. 
I select a sample of 30 ETFs and show that their excess returns are not normally distributed. Therefore, I develop a new performance measure that takes into account the skewness and the kurtosis of the distribution. Moreover, I consider the work of Hübner (2005) to take into account the relative performance of the benchmark. 
I apply this new performance measure on the ETFs from the sample and analyze the results. As expected, the ranking obtained seems to show a positive correlation between performances of ETFs tracking the same benchmark. Moreover, a rolling window analysis highlights the stability of the measure when using windows of different widths. 
In order to assess the quality of the measure, I first test its robustness in the measurement of performance persistence. I show that, using well known statistical tests, the measure is relatively robust in measuring performance persistence since the results indicate persistence for the sample. The same tests are then performed on the information ratio. Since the results also show persistence of the sample, it means that the new performance measure is good at identifying persistent winners when the sample is composed of funds that are persistent in their performance. 
However, the results of the tests of persistence indicate slightly better results for the information ratio. I explore two hypotheses to explain this result. Firstly, it can be due to the characteristics of the ETFs from the sample. Secondly, it can be explained by performance manipulations on the information ratio.

ETF --- Performance measurement --- Information Ratio --- Tracking Error --- Value-at-Risk --- Persistence --- Sciences économiques & de gestion > Finance

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This thesis examines the impact of Value-at-Risk (VaR) on portfolio performance and asset allocation through a strategic asset allocation approach that incorporates the time horizon. The study aims to understand how VaR can be optimized to enhance portfolio performance while managing associated risks.
The value-at-risk (VaR) is a vital component of portfolio analysis, as it indicates the maximum possible loss over ten years at arbitrary levels of risk. It's widely employed in financial risk management to assess and manage market risks. Understanding the impact of VaR on asset allocation and portfolio performance is crucial for achieving strong and efficient investment returns.
The study utilizes a quantitative analysis of bond performance, considering various risk and performance indicators such as mean return, volatility, Sharpe ratio, Sortino ratio, and different VaR values (90%, 95%, 97.5%, 99%). These metrics are used to evaluate the relationship between VaR and portfolio performance and to develop optimized asset allocation strategies based on the time horizon.

Value-at-risk --- Sharpe ratio, Sortino ratio --- Sciences économiques & de gestion > Finance

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This master’s thesis studies the systemic risk of the hedge funds industry through a model developed and used by van Oordt and Zhou (2019a, 2019b). This model measures systemic risk by splitting it into two components: the Pure Tail Risk, defined as the relative tail exposure towards the whole financial system approximated by the S&P500, and the Systemic Linkage, which represents the probabilistic link of the extreme negative returns between the hedge funds and that proxy. Our first intended contribution resides in the explanation and the reconciliation of these two measures, the downside risk­related component and the tail dependence aspect, into one single metric. Our second contribution relates to innovations brought in the estimation method, which relies on Extreme Value Theory to overcome the scarcity of data and the low frequency of reporting inherent to the hedge funds databases. In order to do so, we implement a LASSO-­Generalized Pareto Regression for tail exposure explanations and use copula distributions for tail dependence measurement.Our work provides several new insights. We observe a significant positive correlation be­tween liquidity and systemic risk indicators, which highlights the link between shadow bank­ing, hedge funds and systemic risk. Moreover, a larger fund size and a longer advance notice act as systemic risk reducers, while the lockup period drives up the systemic threat. Driven by the Pure Tail Risk, the results show an increase of the systemic risk during period of stability such as the period of 2003 to 2006 and after the 2008 crisis. Coupled with the high commonal­ity of the industry in such periods, observed by Bussière et al. (2014) between 2003 and 2006, our findings highlight the potential threat that hedge funds bring to the stability of the financial system. We uncover a common dynamic behaviour of hedge fund strategies over time, even though Equity Hedge and Event Driven hedge funds show significantly higher values. This re­sults is all the more important given that we observe that the Equity Hedge strategy represents the largest fraction of the industry. Finally, our model stresses a shift of the hedge funds tail risk dynamic after the 2008 crisis, showing a genuine potential for future research.As a result, we believe that our efforts to identify and explain the systemic risk of the hedge funds industry and its components have led to insightful results, which point to an increasing need for an adapted regulation.

Finance --- Hedge funds --- Systemic risk --- Value-at-risk --- Tail dependence --- Shadow banking --- Sciences économiques & de gestion > Finance