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