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[2014]
The Effect of the GFC on Modelling and Predicting Financial Distress in Hedge Funds
내용
The aim of this study is to identify the effect that the recent Global Financial Crisis (GFC)
has had on the financial distress in hedge funds, and the effect on the reliability of accepted models
in Lee (2010) to predict financial distress across a time horizon that includes GFC. A mixed Cox
proportional hazard (CPH) model used in Lee (2010) is used to identify the covariates that lose
and gain importance in the prediction of failure for hedge funds because of the GFC. Based on
model estimations over the period that includes the GFC and the period prior to the onset of the
crisis, we can identify the factors that generated financial distress of hedge funds during the GFC.
Additionally, to evaluate model robustness, we compare the predictive ability of the models for
each period. An improvement in forecasting skill in the GFC-inclusive period highlights a benefit
of the mixed CPH model.
주제어：Hedge Funds, Financial Distress, Mixed Cox Proportional Hazards Model, Model Robustness,
Global Financial Crisis
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