This paper develops several risk measures that captures the tail risk of single hedge fund strategies and the tail risk contribution of these hedge fund strategies to the overall portfolio tail risk, conditional on the level of market distress. We show that, during the recent global financial...

This paper examines four daily hedge fund return indices: MSCI, FTSE, Dow Jones, and HFRX, all based on investable hedge funds, and three monthly hedge fund return indices: CSFB Tremont, CISDM, and HFR, which comprise both investable and non-investable hedge funds. Our study, based on standard...

We study the effect of financial crises on hedge fund risk. Using a regime-switching beta model, we separate systematic and idiosyncratic components of hedge fund exposure. The systematic exposure to various risk factors is conditional on market volatility conditions. We find that in the...

This paper analyzes whether the convergence of European economies and the introduction of the euro has produced some effects on European Stock Market volatilities. Using multivariate switching regime models we test this issue for stable European economies, such as Germany and France, and...

The centrality of the United States in the global financial system is taken for granted, but its response to recent political and epidemiological events has suggested that China now holds a comparable position. Using minute-by-minute data from 2012 to 2020 on the financial performance of twelve...

We propose several econometric measures of systemic risk to capture the interconnectedness among the monthly returns of hedge funds, banks, brokers, and insurance companies based on principal components analysis and Granger-causality tests. We find that all four sectors have become highly...