Currency Carry Trades and Global Funding Risk

2021 ◽  
Author(s):  
Juuso Nissinen ◽  
Matti Suominen ◽  
Sara Ferreira Filipe
Keyword(s):  
Funding Risk

Hedge Funds and Prime Brokers: The Role of Funding Risk

2009 ◽  
Author(s):  
Benjamin Klaus ◽  
Bronka Rzepkowski
Keyword(s):  
Hedge Funds ◽  
Funding Risk

Funding Risk and Expected Hedge Fund Returns

2009 ◽  
Author(s):  
Evan Dudley ◽  
Mahendrarajah Nimalendran
Keyword(s):  
Hedge Fund ◽  
Hedge Fund Returns ◽  
Funding Risk

Balancing Risk and Funding: Risk-Based Capital Program Management

2010 ◽  
Vol 2010 (1) ◽  
pp. 468-478
Author(s):  
Richard Jacobs ◽  
Sonny Jones ◽  
T. Carter Jason ◽  
David Sklar
Keyword(s):  
Program Management ◽  
Funding Risk

Funding Liquidity Risk and the Dynamics of Hedge Fund Lockups

2020 ◽  
pp. 1-29
Author(s):  
Adam L. Aiken ◽  
Christopher P. Clifford ◽  
Jesse A. Ellis ◽  
Qiping Huang
Keyword(s):  
Hedge Funds ◽  
Regression Discontinuity ◽  
Hedge Fund ◽  
Liquidity Risk ◽  
Causal Link ◽  
Regression Discontinuity Design ◽  
Control Variables ◽  
Funding Liquidity ◽  
And Control ◽  
Funding Risk

Abstract We exploit the expiring nature of hedge fund lockups to create a new measure of funding liquidity risk that varies within funds. We find that hedge funds with lower funding risk generate higher returns, and this effect is driven by their increased exposure to equity-mispricing anomalies. Our results are robust to a variety of sampling criteria, variable definitions, and control variables. Further, we address endogeneity concerns in various ways, including a placebo approach and regression discontinuity design. Collectively, our results support a causal link between funding risk and the ability of managers to engage in risky arbitrage.

Margins and Hedge Fund Contagion

2011 ◽  
Vol 46 (5) ◽  
pp. 1227-1257 ◽  
Author(s):  
Evan Dudley ◽  
Mahendrarajah Nimalendran
Keyword(s):  
Hedge Funds ◽  
Risk Measures ◽  
Hedge Fund ◽  
Subprime Crisis ◽  
Order Of Magnitude ◽  
Funding Risk

AbstractFunding risk measures the extent to which a fund can borrow money by posting collateral. Using a novel measure of funding risk based on futures margins, we are able to empirically identify the mechanism by which changes in funding risk affect the likelihood of contagion. An increase in margins of the order of magnitude observed during the subprime crisis increases the probability of contagion among certain types of funds by up to 34%. Our analysis shows that some types of hedge funds are more vulnerable to contagion than others. Our results also suggest that policies that limit the magnitude of changes in margins over short periods of time may reduce the likelihood of contagion among hedge funds.

Reducing Funding Risk and Implementing a Fundraising Plan: A Case Study

1998 ◽  
Vol 8 (3) ◽  
pp. 275-286 ◽  
Author(s):  
Robert Tyminski
Keyword(s):  
Funding Risk

An XVA Approach to Counterparty Risk Appraisal

2020 ◽  
Vol 01 ◽  
Author(s):  
Junhao Zhu ◽  
Dejun Xie ◽  
Gang Liu ◽  
Fei Ma
Keyword(s):  
Default Risk ◽  
Sovereign Debt ◽  
Point Of View ◽  
Counterparty Risk ◽  
Over The Counter ◽  
Bona Fide ◽  
Managing Risk ◽  
Comprehensive Framework ◽  
Funding Risk ◽  
Foundation Formula

Background: More bona fide adjustments aimed at appraising counterparty risks and financial expenses related to over-the-counter derivative have become indispensable after the European sovereign debt catastrophe and the 2007/08’s world-wide fiscal crisis. The most notable measures include DVA, CVA and FVA. Methods: This paper advocates the application of XVA scheme to assess CVA, DVA, and FVA for managing risk and pricing of financial or OTC derivatives. Results and Discussion: A foundation formula is formulated and tested against different risk scenarios of CVA, DVA, FVA, and KVA using cross referenced data. Practical advices are provided for real industry application of XVA. Conclusion: Compared to traditional risk management in financial market where funding risk, credit risk, and default risk are accounted separately, the approach proposed by the current study monitors the multiple types of risk in a comprehensive framework and is more practically effective from financial operation point of view.

scholarly journals Currency Carry Trades and Funding Risk

2012 ◽  
Author(s):  
Sara Ferreira Filipe ◽  
Matti Suominen
Keyword(s):  
Funding Risk
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