Monitoring systemic risk in the hedge fund sector
提出基于对冲基金间相互依赖关系的系统性风险度量指标，能有效识别金融困境时期，且对模型调整稳健、结果直观。
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.