TY - JOUR T1 - Hedge Fund Tail Risk: <em>An Investigation</em> <br/> <em>in Stressed Markets</em> JF - The Journal of Alternative Investments SP - 109 LP - 124 DO - 10.3905/jai.2016.18.4.109 VL - 18 IS - 4 AU - Monica Billio AU - Lorenzo Frattarolo AU - Loriana Pelizzon Y1 - 2016/03/31 UR - https://pm-research.com/content/18/4/109.abstract N2 - This article develops several risk measures that capture 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. The authors show that, during the recent global financial crisis, all of the different hedge fund strategies contributed to the tail risk of the portfolio of hedge funds, mostly because of the hedge fund strategies’ exposure to liquidity and credit risk.TOPICS: Real assets/alternative investments/private equity, tail risks, financial crises and financial market history, portfolio construction ER -