Extremal connectedness of hedge funds
针对对冲基金数据报告期短且不平衡的特点，提出一种动态极端关联性度量方法，发现危机期间不同策略对冲基金之间以及对冲基金与银行之间的尾部依赖增强，表明同时发生极端损失的可能性更高。
Abstract We propose a dynamic measure of extremal connectedness tailored to the short reporting period and unbalanced nature of hedge funds data. Using multivariate extreme value regression techniques, we estimate this measure conditional on factors reflecting the economic uncertainty and the state of the financial markets, and derive risk indicators reflecting the likelihood of extreme spillovers. Empirically, we study the dynamics of tail dependencies between hedge funds grouped per investment strategies, as well as with the banking sector. We show that during crisis periods, some pairs of strategies display an increase in their extremal connectedness, revealing a higher likelihood of simultaneous extreme losses. We also find a sizable tail dependence between hedge funds and banks, indicating that banks are more likely to suffer extreme losses when the hedge fund sector does. Our results highlight that a proactive regulatory framework should account for the dynamic nature of the tail dependence and its link with financial stress.