Hedge Fund Tail Risk: An Investigation in Stressed Markets, Extended Version with Appendix
39 Pages Posted: 22 Jan 2016 Last revised: 14 Nov 2016
Date Written: November 7, 2016
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.
Keywords: Hedge funds, Tail risk, Diversification, Marginal risk contribution
JEL Classification: G11, G29
Suggested Citation: Suggested Citation