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Measuring the Time-varying Systemic Risks of Hedge Funds

https://doi.org/10.2139/ssrn.4807133
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Understanding the economic determinants of the severity of operational losses: A regularized generalized Pareto regression approach
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Systemic risk and bank business models
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Extremal connectedness of hedge funds
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Assessing the contribution of banks, insurance and other financial services to systemic risk
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The role of shadow banking in systemic risk in the European financial system
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Systemic risk and cross-sectional hedge fund returns
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Hedge Funds and Financial Stability: Regulating Prime Brokers Will Mitigate Systemic Risks
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inferredcites →https://doi.org/10.1017/s0022109011000342openalex-extracted
Margins and Hedge Fund Contagion
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Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach
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Liquidity Risk and Expected Stock Returns
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Estimating Systematic Risk under Extremely Adverse Market Conditions*
inferredcites →https://doi.org/10.1093/rfs/14.2.313openalex-extracted
The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers
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The Rise of Shadow Banking: Evidence from Capital Regulation
inferredcites →https://doi.org/10.1093/rfs/hhad031openalex-extracted
Financing Competitors: Shadow Banks’ Funding and Mortgage Market Competition
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Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications
inferredcites →https://doi.org/10.1093/rfs/hhn098openalex-extracted
Market Liquidity and Funding Liquidity
inferredcites →https://doi.org/10.1093/rfs/hhw088openalex-extracted
Measuring Systemic Risk
inferredcites →https://doi.org/10.1093/rof/rfw026openalex-extracted
Where the Risks Lie: A Survey on Systemic Risk
inferredcites →https://doi.org/10.1111/0022-1082.00401openalex-extracted
Characteristics of Risk and Return in Risk Arbitrage
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Generalized Additive Modelling of Sample Extremes
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb05169.xopenalex-extracted
Size and Book-to-Market Factors in Earnings and Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01499.xopenalex-extracted
Role of Managerial Incentives and Discretion in Hedge Fund Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.2010.01594.xopenalex-extracted
Hedge Fund Contagion and Liquidity Shocks
inferredcites →https://doi.org/10.1111/jofi.12008openalex-extracted
On the High‐Frequency Dynamics of Hedge Fund Risk Exposures
inferredcites →https://doi.org/10.1111/jofi.12031openalex-extracted
A Model of Shadow Banking
inferredcites →https://doi.org/10.1111/jori.12059openalex-extracted
An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates
inferredcites →https://doi.org/10.1198/016214506000000735openalex-extracted
The Adaptive Lasso and Its Oracle Properties
inferredcites →https://doi.org/10.1257/aer.102.3.59openalex-extracted
Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks
inferredcites →https://doi.org/10.1257/aer.20120555openalex-extracted
CoVaR
inferredcites →https://doi.org/10.2139/ssrn.1874668openalex-extracted
On the High-Frequency Dynamics of Hedge Fund Risk Exposures
inferredcites →https://doi.org/10.2139/ssrn.2517799openalex-extracted
Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings
inferredcites →https://doi.org/10.2469/faj.v60.n5.2657openalex-extracted
Hedge Fund Benchmarks: A Risk-Based Approach
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Hedge Fund Tail Risk
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