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Hedge Fund Tail Risk: An Investigation in Stressed Markets, Extended Version with Appendix
| Content Provider | Scilit |
|---|---|
| Author | Billio, Monica Frattarolo, Lorenzo Pelizzon, Loriana |
| Copyright Year | 2016 |
| Description | Journal: SSRN Electronic Journal This paper develops several risk measures that captures the tail risk of single hedge fund strategies and the tail risk contribution of these hedge fund strategies to the overall portfolio tail risk, conditional on the level of market distress. We show that, during the recent global financial crisis, all the different hedge fund strategies are contributing to the tail risk of the portfolio of hedge funds, mostly because of the hedge fund strategies' exposure to liquidity and credit risk. |
| Related Links | http://www.unive.it/pag/fileadmin/user_upload/dipartimenti/economia/doc/Pubblicazioni_scientifiche/working_papers/2016/WP_DSE_billio_frattarolo_pelizzon_01_16.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2719550 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2719550 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2016-11-07 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Marginal Risk Contribution |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |