We study the performance of a group of foreign exchange reserve managers that are responsible for investing the ECB's official reserves in US dollars, for a value of around $43 billion, using a new dataset which includes detailed portfolio holdings from 2006 to 2010. The ECB reserve managers...

This paper documents how sovereign debt ratings shape euro area cross-border holdings of euro area sovereign debt, using granular sectoral security holdings statistics for the period 2009Q4 until 2016Q1. Credit risk is the main risk for bond investors when investing in bonds that are issued in...

Funds of Hedge Funds (FoHFs) are often thought to have excess skewness relative to the S&P 500. We illustrate by means of novel econometric methods that this arises because of a buy-and-hold strategy with respect to underlying hedge funds, which exhibit excess skewness with respect to the...

This article aims at testing empirically the major building blocks that affect the performance of funds of funds hedge funds: incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. Funds of hedge funds invest solely in other hedge funds. The hedge...

Regulatory arbitrage is an indispensable element of regulatory competition as it provides regulatory substitutes for firms, and allows those firms to optimally benefit from such competition. This also increases the elasticity of demand for regulators and engenders accountability among them....

This article studies the regulatory strategies to address the potential systemic risk of hedge funds operation in financial markets. Due to the implications of the choice of regulatory strategies and instruments in terms of mitigating systemic risk, the article focuses on one critical aspect of...

Just over three years after enacting a Minimum Exchange Rate policy for the Swiss Franc vs. Euro (EUR/CHF), the Swiss National Bank (SNB) removed it in a surprise announcement on January 15, 2015. The announcement shocked the FX market — EUR/CHF dropped 25.5 percent in the minutes that...