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 "@type": "DefinedTerm",
 "@id": "https://wulfkaal.github.io/entities/risk-measurement",
 "identifier": "kaal:entity:risk-measurement",
 "name": "Risk measurement",
 "termCode": "risk-measurement",
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 "author": {
  "@type": "Person",
  "name": "Wulf A. Kaal",
  "identifier": "https://orcid.org/0000-0003-0757-275X"
 },
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 "subjectOf": [
  {
   "@type": "Claim",
   "@id": "https://wulfkaal.github.io/claims/2714974-026",
   "identifier": "kaal:claim:2714974-026",
   "text": "Direct regulation of hedge fund leverage collapses on the details because balance sheet leverage is not an adequate measure of risk and would push funds into off-balance sheet avoidance strategies.",
   "abstract": "Balance sheet leverage is not an adequate measure of risk and would encourage avoidance behavior with off-balance sheet strategies.",
   "citation": "Kaal and Oesterle, The History of Hedge Fund Regulation in the United States (2016). SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2714974",
   "datePublished": "2016",
   "claim_type": "failure",
   "confidence": "argued",
   "is_failure_mode": true,
   "scope_conditions": [
    "applies to proposals for direct leverage regulation"
   ],
   "source_pdf_sha256": "7764601d3ed5bb056b58949e8411eff9dfb9855f143719062030c980c5fa801b",
   "status": "current"
  },
  {
   "@type": "Claim",
   "@id": "https://wulfkaal.github.io/claims/2714974-027",
   "identifier": "kaal:claim:2714974-027",
   "text": "Alternative risk measures such as value at risk have severe measurement problems, so any direct regulation of leverage would be set conservatively and would substantially limit hedge funds' ability to provide market liquidity.",
   "abstract": "Any attempt to directly regulate leverage would likely be conservative, due to measurement problems, and put major limits on hedge funds' ability to provide market liquidity.",
   "citation": "Kaal and Oesterle, The History of Hedge Fund Regulation in the United States (2016). SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2714974",
   "datePublished": "2016",
   "claim_type": "failure",
   "confidence": "argued",
   "is_failure_mode": true,
   "scope_conditions": [
    "applies to direct regulation of hedge fund leverage"
   ],
   "source_pdf_sha256": "7764601d3ed5bb056b58949e8411eff9dfb9855f143719062030c980c5fa801b",
   "status": "current"
  },
  {
   "@type": "Claim",
   "@id": "https://wulfkaal.github.io/claims/2748096-036",
   "identifier": "kaal:claim:2748096-036",
   "text": "Risk measures that are not adjusted for serial correlation in hedge fund returns can considerably underestimate the true extent of both individual and systemic hedge fund risk, so empirical work in this area must account for autocorrelation.",
   "abstract": "unadjusted risk measures can considerably underestimate the true extent of individual and systemic risks for hedge funds.",
   "citation": "Wulf A. Kaal, Timothy A. Krause, Hedge Funds and Systemic Risk (2016). SSRN: https://ssrn.com/abstract=2748096",
   "datePublished": "2016",
   "claim_type": "failure",
   "confidence": "evidenced",
   "is_failure_mode": true,
   "scope_conditions": [
    "applies to empirical studies of hedge fund returns"
   ],
   "source_pdf_sha256": "8f30260f2c1db728b45c4f3b9b7c64358cf9d3217277bc3c63a910c32f87b508",
   "status": "current"
  }
 ],
 "description": "3 claims in the published works of Wulf A. Kaal carry the concept tag 'risk-measurement'. Derived node: a roster, not an adjudicated definition."
}