PT  - JOURNAL ARTICLE
AU  - Monica Billio
AU  - Lorenzo Frattarolo
AU  - Loriana Pelizzon
TI  - Hedge Fund Tail Risk: <em>An Investigation</em>
               <br/>
               <em>in Stressed Markets</em>
AID  - 10.3905/jai.2016.18.4.109
DP  - 2016 Mar 31
TA  - The Journal of Alternative Investments
PG  - 109--124
VI  - 18
IP  - 4
4099  - https://pm-research.com/content/18/4/109.short
4100  - https://pm-research.com/content/18/4/109.full
AB  - 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