- Rupture de stock
Société Editions ESKA
Detecting Early Warnings for Hedge Fund Contagion [extrait BMI 129]
Author : Savona Roberto
- Donnez votre avis
50,00 €
TTC
Version numérique PDF
In this paper we investigate contagion dynamics in the hedge fund industry and explore their main symptoms and implications for systemic risk. Correlations in hedge fund returns, their leverage dynamics, and market liquidity shocks are commonly classified as the main systemic risk drivers in the hedge fund industry. How they can be assembled in order to detect hedge fund contagion? In this paper we try to give an answer to this question by realizing an Early Warning System for hedge funds based on specific red flags that help to detect symptoms of impending contagion effects. Our empirical findings revealed a changing nature of contagion which has important implications for investors and asset managers, in particular regarding the role played by correlations in portfolio construction and portfolio risk management.Keywords: Hedge funds; Contagion; Dynamic conditional correlations; Time-varying beta;Regression trees.JEL codes: C11; C14 ; G10.Auteurs :Savona Roberto
Extrait de la revue BMI 129
BMI129-1116921
Nouveau
16 autres produits dans la même catégorie :
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
![Edito [extrait BMI 129]](https://eska-publishing.com/10888-home_default/edito-extrait-bmi-129-.jpg)
Availability: Out of stock
Sommaire
The Paulson Plan: Who Are the Winners?
- A Partial Equilibrium Model of the Convenience Yield Risk Premium of Storable Commodities
- Raising Companies’ Profi le with Corporate Social Performance
- Does Employee Ownership Really Boost Performance?
- Islamic Equity Indices: Insight and Comparison with Conventional Counterparts
- Market microstructure in practice
Availability: Out of stock
Sommaire
Articles
- Testing the Profitability of Contrarian Trading Strategies Based on the Overreaction Hypothesis
- Evaluating UCITS Compliant Hedge Fund Performance
- Do Cooperative Banks Have Greater Market Power?
- In which Media are Analysts’ Recommendations most Followed?
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- What Maximum Fees Should Investors Pay to Active Fund Managers?
- How does the Market Price of the Corporate Sponsor React to Socially Responsible Fund Introductions?
- Pricing, Hedging and Assessing Risk in a General Lévy Context
- The Performance Implications of Business Group Affi liation for Small Businesses
- Introducing to Risk Parity and Budgeting
Availability: Out of stock
