Crises and Funds of Hedge Funds Tail Risk
26.2.1 The Model
26.2.2 Tail Risk Measures
26.3 Empirical Results
26.3.2 Expanding Window Estimation Procedure
The recent financial crises had a major global impact on worldwide markets. Although hedge funds are expected to have the capability to reduce the impact of such crises by hedging against market movements, the Long-Term Capital Management (LCTM) crisis in 1998 and the global meltdown in 2008 ...