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Monitoring systemic risk in the hedge fund sector

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  • Frank Hespeler
  • Giuseppe Loiacono

Abstract

We propose measures for systemic risk generated through intra-sectorial interdependencies in the hedge fund sector. These measures are based on variations in the average cross-effects of funds showing significant interdependency between their individual returns and the moments of the sector’s return distribution. The proposed measures display a high ability to identify periods of financial distress, are robust to modifications in the underlying econometric model and are consistent with intuitive interpretation of the results.

Suggested Citation

  • Frank Hespeler & Giuseppe Loiacono, 2017. "Monitoring systemic risk in the hedge fund sector," Quantitative Finance, Taylor & Francis Journals, vol. 17(12), pages 1859-1883, December.
    • Handle: RePEc:taf:quantf:v:17:y:2017:i:12:p:1859-1883
    DOI: 10.1080/14697688.2017.1357969
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    References listed on IDEAS

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    3. Nadal De Simone, Francisco, 2021. "Measuring the deadly embrace: Systemic and sovereign risks," Research in International Business and Finance, Elsevier, vol. 56(C).

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