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There's mitochondrial DNA in strands of hair (which can be used to test parentage, but isn't individual), you can't tell species with MtDNA (at least not in the same way you can with chromosome counting), you need the base of the hair for that.

I don't really think that's an issue when using this 'horn'..

The method used in this study can be applied in the identification of processed products of rhinoceros horns, such as sculptures, daggers, powders or even mixture powdered prescriptions.

http://www.researchgate.net/publication/10570924_Species_identification_of_rhinoceros_horns_using_the_cytochrome_b_gene

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Typically, the RhoDIS team will extract DNA from a seized rhino horn using a new, sensitive technique, the details of which have yet to be published. A DNA profile is then produced by sequencing 14 genetic markers. As with other kinds of DNA testing, markers are variable, repetitive non-coding segments of the genome, called short tandem repeats, which are heritable. This profile can then be compared to those in the RhoDIS database..

http://frameweb.org/adl/en-US/6807/file/940/new%20scientist.pdf

A trader shows off real rhino horn—the more fibrous piece on the right—compared with a fake made of water buffalo horn. A DNA test confirmed that the real horn was from a white rhino, an African species.

http://www.naturalhistorymag.com/features/212351/bad-medicine