This paper empirically investigates the risk and performance of three types of alternative betaproducts over the January 2002 to September 2009 time period: funds of hedge funds (FHFs),investable hedge fund indices (IHFIs), and hedge fund replication strategies (HFRS). Weshow that IHFIs are true...

Untersuchungsgegenstand des Projekts sind die Übertragungsmechanismen (contagion) derRisiken in Finanzsystemen durch Verhaltenssymmetrien (z.B. durch Risikomodelle und ihre regulierteUmsetzung), Intransparenz (z.B. über Beteiligungsgesellschaften etwa im Bereich PrivateEquity) und Moral Hazard...

[...]This article examines how the nature and characteristics ofhedge funds may generate “market failures” that make CCRMfor exposures to hedge funds intrinsically more difficult tomanage, both for the individual firm and for policymakersconcerned with systemic risk. We put forward no...

This paper analyzes the relation between correlation risk and the cross-section of hedge fund returns.Legal framework and investment mandate imply that hedge funds can be severely exposed tocorrelation risk: Hedge funds ability to enter long-short positions can be useful to reduce marketbeta,...

Hedge Funds are often considered as a possibility for optimizing traditional portfolios due to their alternative risk factors and sources of return. But as the return distribution of hedge funds shows negative skewness and excess kurtosis, using portfolio optimization techniques, based on the...

This paper presents a new approach to incorporate estimation risk into mean-variance portfolio selection. The key contribution of our analysis is that we model the estimation risk as a second, independent source of risk.

Direkt gehaltene Immobilienanlagen werden im institutionellen Umfeld aufgrund anlageklassenspezifischer Gegebenheiten als alternative Anlagen betrachtet.Mit einem durchschnittlichen Allokationsanteil von rund 12% ist deren Bedeutung in den gemischten Portfolios von Versicherungen, Pensionskassen...

We derive a general framework for collateral risk control determination for central bank's open market operations. This framework allows us to determine the schedule of haircuts consistent with the risk tolerated by the central bank while at the same time reducing the possibility of arbitrage...

We investigate the influence of various variables on credit default swap transaction data. Credit derivatives are arguably a superior proxy to credit risk than bond spreads. The variables considered include fixed-income as well as equity markets data. We thus provide an international analysis of...