一、主题:Another Look at the Effect of Hedge Fund Performance on Mortality Risk
二、主讲人:唐镭镭,英国斯特莱斯克莱德大学金融系高级讲师。2001年获得英国南安普顿大学金融学博士学位,主要研究领域包括对冲基金管理、金融计量学、信用评级、国家未定债权决策等。曾在Journal of Empirical Finance、European Journal of Operational Research、Journal of International Financial Markets等期刊发表论文十余篇。
三、时间:2015年4月10日(周五),12:30-13:30
四、地点:bwin必赢唯一官方网站主楼913会议室
五、主持人:黄志刚,bwin必赢唯一官方网站副教授
文章摘要:We propose a statistical approach that facilitates the derivation of return measures which are used as explanatory variables for predicting the mortality risk of hedge funds. We illustrate our approach using multi-horizon forecasts of hedge fund survivorship. Our results demonstrate that derived return measures have a greater predictive power than approaches used in previous research.