[Forum SIS] Seminario Julien Hambuckers

[Emanuele Taufer]

Cari Colleghi,

si segnalo il seguente seminario (online) organizzato dal Laboratorio di
Metodi Quantitativi per venerdì prossimo alle 11.

Cordiali saluti
Emanuele Taufer




QM-lab  invites you to the seminar
*Extremal connectedness and systemic risk of hedge funds*
*11 December 2020 - 11 AM *
Speaker:Julien Hambuckers
<https://sites.google.com/view/julienhambuckers/accueil> University of
Liège – HEC Management School, Belgium Abstract

We propose a dynamic measure of extremal connectedness across investment
styles of hedge funds, an important driver of financial crises. 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 several systemic risk indicators.
Empirically, we study the dynamics of tail dependencies between investment
strategies in the HFR database. In a preliminary step, we exploit
cross-sections of hedge funds monthly returns grouped by investment styles
to estimate marginal fund-specific tail distributions. We show that during
crisis periods, some pairs of strategies display an increase in their
extremal connectedness. Our results highlight that a proactive regulatory
framework should account for the dynamic nature of the tail dependence and
its link with financial stress.

*Linda Mhalla, Julien Hambuckers, Marie Lambert*

*The seminar will be held via Zoom*


* Join Zoom Meeting
<https://unitn.zoom.us/j/83065448032>https://unitn.zoom.us/j/87552787378
<https://unitn.zoom.us/j/87552787378>*

*Meeting ID:  **87552787378*
*Passcode: 938751*

Further Information:

Prof. Marco Bee
Dipartimento di Economia & Management
tel. 0461 282296
marco.bee a unitn.it
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