We develop a new tail risk measure for hedge funds to examine the impact of tail risk on fund performance and to … identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns, and … investments in both, tailsensitive stocks as well as options, drive tail risk. Moreover, managerial incentives and discretion as …

We develop a new systematic tail risk measure for equity-oriented hedge funds to examine the impact of tail risk on … fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in … fund returns, and investments in both, tail-sensitive stocks as well as options, drive tail risk. Moreover, leverage and …

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work …

risk-return performance measures, asset allocation or loss probabilities of portfolios containing such instruments, will be … heterogeneity, risk preferences, non-linearities, and significant serial correlation. The results presented have significant … implications for risk management, asset managements and investors' perceptions …

assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a … financial blueprint on how to manage risk. It is assumed that using old assumptions of normality alone in a distribution is not …