RT Journal Article
SR Electronic
T1 Hedge Fund Tail Risk: An Investigation
in Stressed Markets
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 109
OP 124
DO 10.3905/jai.2016.18.4.109
VO 18
IS 4
A1 Monica Billio
A1 Lorenzo Frattarolo
A1 Loriana Pelizzon
YR 2016
UL https://pm-research.com/content/18/4/109.abstract
AB This article develops several risk measures that capture 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. The authors show that, during the recent global financial crisis, all of the different hedge fund strategies contributed to the tail risk of the portfolio of hedge funds, mostly because of the hedge fund strategies’ exposure to liquidity and credit risk.TOPICS: Real assets/alternative investments/private equity, tail risks, financial crises and financial market history, portfolio construction