Risk modelling of alternative investments

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dc.contributor.authorKaminskyi, Andrii
dc.contributor.authorNehrey, Maryna
dc.date.accessioned2021-08-16T12:38:12Z
dc.date.available2021-08-16T12:38:12Z
dc.date.issued2020
dc.description.abstractAlternative investments present an intensively grow domain which characterizes by relatively high risk. Our research focus to complex evaluation of such investment’s risks. There were formed special sample from ETF corresponding alternative investments. Sample was structured in 10 classes of alternative investments. Risk evaluation involve applying different approaches. First approach grounding on vola-tility conception and include a number of risk measures. Special attention was paid to consider risk from asymmetry analysis, which reveals domination of negative skew of return`s distribution. Second approach estimates risk at the frameworks of a Value-at-Risk methodology. VaR and CVaR estimations were examined by comparative analysis. Third approach use sensitivity analysis with returns of two chosen market indices. They are S&P500 and AGG. Only two classes from considered ETF`s classes (hedge funds and long short) indicates sensitivity to changes of S&P500 returns. A separate area of research was fitting probability distribution function. Four type of distrbutions were identified as a best fitting. The most recurrent distribution turned out to be four parametric Burr distribution. ETF classes are differing by risk level and risk characteristics, which should be taking into account in asset allocation process. Modelling investment risk for alternative investments should use complex attitude to risk analysis and evaluation.en_US
dc.identifier.citationKaminskyi A. B. Risk modelling of alternative investments / Kaminskyi A. B., Nehrey M. V. // Системный анализ и моделирование процессов управления : монография / под ред. В. С. Пономаренко, Т. С. Клебановой ; Харьков. нац. экон. ун-т им. С. Кузнеца. - Братислава ; Харьков : ВШЭМ – ХНЭУ им. С. Кузнеца, 2020. - [Разд.] 3.5. - С. 229-244.ru_RU
dc.identifier.urihttps://ekmair.ukma.edu.ua/handle/123456789/20530
dc.language.isoenuk_UA
dc.relation.sourceСистемный анализ и моделирование процессов управления : монографияru_RU
dc.statusfirst publisheduk_UA
dc.subjectalternative investmentsen_US
dc.subjectrisk analysisen_US
dc.subjectdistributionen_US
dc.subjectmonograph chapteren_US
dc.titleRisk modelling of alternative investmentsen_US
dc.typeBook chapteruk_UA
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