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Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix

Author

Listed:
  • Monica Billio

    (Department of Economics, University Of Venice C� Foscari)

  • Lorenzo Frattarolo

    (Department of Economics, University Of Venice C� Foscari)

  • Loriana Pelizzon

    (SAFE-Goethe University Frankfurt and Department of Economics, University Of Venice C� Foscari)

Abstract

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.

Suggested Citation

  • Monica Billio & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix," Working Papers 2016:01, Department of Economics, University of Venice "Ca' Foscari".
    • Handle: RePEc:ven:wpaper:2016:01
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Hedge funds; Tail risk; Diversification; Marginal risk contribution;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other

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