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Haijie (Jacky) Weng

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Haijie Weng Macquarie Research Student
  • Title: Mr
  • Position: PhD Student - Department of Applied Finance and Actuarial Studies

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Student information

  • Load: PhD Student Part Time
  • Principal supervisor: Professor Stefan Trueck
  • Associate supervisor: Doctor George Milunovich
  • Date of submission: 31/12/2012
  • Thesis title: Return Based Analysis and Value at Risk of Asia-Focused Hedge Funds
  • Abstract: In this thesis, I identify the return based style factors for the Asia-focused hedge funds represented by HFRI Emerging Market-Asia exclude Japan index. The hedge fund index has a strong exposure to Asian equity markets and bond indices. The inclusion of non linear equity factors results in marginal increases in explanatory power for the hedge fund index. Estimated small positions on options provide a protection of portfolio against the unexpected severely depreciating markets. The model well captures the risk exposures of the hedge fund index through out of sample test. I conduct value-at-risk analysis using the identified return based style factors. I propose an approach using Monte Carlo simulation to forecast the value-at-risk. This approach is able to estimate the Value-at-Risk over time and provides a more plausible estimation of Value-at-Risk than bootstrap method.