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Article

Hedge Fund Tail Risk: An Investigation
in Stressed Markets

Monica Billio, Lorenzo Frattarolo and Loriana Pelizzon
The Journal of Alternative Investments Spring 2016, 18 (4) 109-124; DOI: https://doi.org/10.3905/jai.2016.18.4.109
Monica Billio
is a professor of econometrics in the Department of Economics at Ca’ Foscari University of Venice in Venice, Italy.
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  • For correspondence: billio@unive.it
Lorenzo Frattarolo
is a postdoctoral researcher in the Department of Economics at Ca’ Foscari University of Venice in Venice, Italy.
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  • For correspondence: lorenzo.frattarolo@unive.it
Loriana Pelizzon
is the program director of the Systemic Risk Lab and chair of law and finance at Research Centre SAFE at Goethe University in Frankfurt, Germany, and a professor of economics in the Department of Economics at Ca’ Foscari University of Venice in Venice, Italyy.
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Article Information

vol. 18 no. 4 109-124
DOI 
https://doi.org/10.3905/jai.2016.18.4.109

Published By 
Pageant Media Ltd
Print ISSN 
1520-3255
Online ISSN 
2168-8435
History 
  • Published online March 31, 2016.

Copyright & Usage 
© 2016 Pageant Media Ltd

Author Information

  1. Monica Billio
    1. is a professor of econometrics in the Department of Economics at Ca’ Foscari University of Venice in Venice, Italy. (billio{at}unive.it)
  2. Lorenzo Frattarolo
    1. is a postdoctoral researcher in the Department of Economics at Ca’ Foscari University of Venice in Venice, Italy. (lorenzo.frattarolo{at}unive.it)
  3. Loriana Pelizzon
    1. is the program director of the Systemic Risk Lab and chair of law and finance at Research Centre SAFE at Goethe University in Frankfurt, Germany, and a professor of economics in the Department of Economics at Ca’ Foscari University of Venice in Venice, Italyy. (pelizzon{at}unive.it)
  1. To order reprints of this article, please contact Dewey Palmieri at dpalmieri{at}iijournals.com or 212-224-3675.
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The Journal of Alternative Investments: 18 (4)
The Journal of Alternative Investments
Vol. 18, Issue 4
Spring 2016
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Hedge Fund Tail Risk: An Investigation
in Stressed Markets
Monica Billio, Lorenzo Frattarolo, Loriana Pelizzon
The Journal of Alternative Investments Mar 2016, 18 (4) 109-124; DOI: 10.3905/jai.2016.18.4.109

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Hedge Fund Tail Risk: An Investigation
in Stressed Markets
Monica Billio, Lorenzo Frattarolo, Loriana Pelizzon
The Journal of Alternative Investments Mar 2016, 18 (4) 109-124; DOI: 10.3905/jai.2016.18.4.109
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    • Abstract
    • MARGINAL RISK CONTRIBUTION MEASURES
    • EMPIRICAL RESULTS
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