Abstract

We propose measures for systemic risk generated through intra-sectorial interdependencies in the hedge fund sector. These measures are based on variations in the average cross-effects of funds showing significant interdependency between their individual returns and the moments of the sector’s return distribution. The proposed measures display a high ability to identify periods of financial distress, are robust to modifications in the underlying econometric model and are consistent with intuitive interpretation of the results.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call