4. Hedge Fund Tail Risk

Tobias Adrian; Markus K. Brunnermeier; Hoai-Luu Q. Nguyen

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4. Hedge Fund Tail Risk

Tobias Adrian , Markus K. Brunnermeier and Hoai-Luu Q. Nguyen

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This chapter is in the book Quantifying Systemic Risk

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Adrian, Tobias, Brunnermeier, Markus K. and Nguyen, Hoai-Luu Q.. "4. Hedge Fund Tail Risk". Quantifying Systemic Risk, edited by Joseph G. Haubrich and Andrew W. Lo, Chicago: University of Chicago Press, 2013, pp. 155-174. https://doi.org/10.7208/9780226921969-007

Adrian, T., Brunnermeier, M. & Nguyen, H. (2013). 4. Hedge Fund Tail Risk. In J. Haubrich & A. Lo (Ed.), Quantifying Systemic Risk (pp. 155-174). Chicago: University of Chicago Press. https://doi.org/10.7208/9780226921969-007

Adrian, T., Brunnermeier, M. and Nguyen, H. 2013. 4. Hedge Fund Tail Risk. In: Haubrich, J. and Lo, A. ed. Quantifying Systemic Risk. Chicago: University of Chicago Press, pp. 155-174. https://doi.org/10.7208/9780226921969-007

Adrian, Tobias, Brunnermeier, Markus K. and Nguyen, Hoai-Luu Q.. "4. Hedge Fund Tail Risk" In Quantifying Systemic Risk edited by Joseph G. Haubrich and Andrew W. Lo, 155-174. Chicago: University of Chicago Press, 2013. https://doi.org/10.7208/9780226921969-007

Adrian T, Brunnermeier M, Nguyen H. 4. Hedge Fund Tail Risk. In: Haubrich J, Lo A (ed.) Quantifying Systemic Risk. Chicago: University of Chicago Press; 2013. p.155-174. https://doi.org/10.7208/9780226921969-007

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Chapters in this book

Frontmatter i
Contents ix
Acknowledgments xi
Introduction 1
Systemic Risk and Financial Innovation: Toward a “Unified” Approach 11
1. Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks 29
2. Endogenous and Systemic Risk 73
3. Systemic Risks and the Macroeconomy 113
4. Hedge Fund Tail Risk 155
5. How to Calculate Systemic Risk Surcharges 175
6. The Quantifi cation of Systemic Risk and Stability: New Methods and Measures 223
Contributors 265
Author Index 267
Subject Index 271

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https://doi.org/10.7208/9780226921969-007

Chapters in this book

Frontmatter i
Contents ix
Acknowledgments xi
Introduction 1
Systemic Risk and Financial Innovation: Toward a “Unified” Approach 11
1. Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks 29
2. Endogenous and Systemic Risk 73
3. Systemic Risks and the Macroeconomy 113
4. Hedge Fund Tail Risk 155
5. How to Calculate Systemic Risk Surcharges 175
6. The Quantifi cation of Systemic Risk and Stability: New Methods and Measures 223
Contributors 265
Author Index 267
Subject Index 271

4. Hedge Fund Tail Risk

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