Monitoring systemic risk in the hedge fund sector. Issue 12 (2nd December 2017)

• Record Type: Journal Article
• Authors: Hespeler, Frank; Loiacono, Giuseppe
• Is Part Of: Quantitative finance. Volume 17:Issue 12(2017)
• Page Start: 1859
• Page End: 1883
• Publication Date: 2017-12-02
• Subjects: Hedge funds -- Systemic risk -- Vector autoregressive model -- Risk monitoring; C50 -- G01 -- G23; Finance -- Periodicals; Business mathematics -- Periodicals; Finance -- Mathematical models -- Periodicals; Investments -- Mathematics -- Periodicals; Economics -- Periodicals; Finances -- Modèles mathématiques -- Périodiques; 332.015118
• DOI: 10.1080/14697688.2017.1357969
• Languages: English
• ISSNs: 1469-7688

Abstract

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.