Monitoring systemic risk in the hedge fund sector
Frank Hespeler () and
Quantitative Finance, 2017, vol. 17, issue 12, 1859-1883
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.
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