Dynamic risk exposures in hedge funds

被引：30

作者：

Billio, Monica ^{[2
]}

Getmansky, Mila ^{[1
]}

Pelizzon, Loriana ^{[2
]}

机构：

[1] Univ Massachusetts, Isenberg Sch Management, Amherst, MA 01003 USA

[2] Univ Venice, Dept Econ, I-30100 Venice, Italy

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2012年 / 56卷 / 11期

关键词：

Hedge funds; Regime-switching models; Risk management; Liquidity; Financial crises; TIME-SERIES; CROSS-SECTION; MODEL; PERFORMANCE; ILLIQUIDITY; STRATEGIES; LIQUIDITY; RETURNS;

D O I：

10.1016/j.csda.2010.08.015

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

A regime-switching beta model is proposed to measure dynamic risk exposures of hedge funds to various risk factors during different market volatility conditions. Hedge fund exposures strongly depend on whether the equity market (S&P 500) is in the up, down, or tranquil regime. In the down-state of the market, when market volatility is high and returns are very low, S&P 500, Small-Large. Credit Spread, and VIX are common risk factors for most of the hedge fund strategies. This suggests that hedge fund exposures to the market, liquidity, credit, and volatility risks change depending on market conditions, and these risks are potentially common factors for the hedge fund industry in the down-state of the market. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：3517 / 3532

页数：16

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