Tail Risk Protection for Funds of Hedge Funds
Oliver A. Schwindler, HF-Analytics GmbH, Bamberg, Germany
Chapter Outline
24.1 Introduction
24.2 VIX, VIX Futures, VIX Options, and the VVIX
24.3 Tail Risk Hedging
24.4 Tail Risk Protection for FoHFs
Conclusion
References
24.1 Introduction
The events unfolding during the last decade clearly show the importance of controlling portfolio exposures to fat-tail events like the capital markets turmoil after the bankruptcy of Lehman Brothers and its contagion effects on worldwide financial markets. Although funds of hedge funds (FoHFs) were supposed to be absolute return funds, the financial crisis in 2008 clearly shows that these FoHFs are not immune to tail risk events.
Basically, there are three ...
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