kaal:claim:2748096-037

Systemic risk rankings that place a loosely defined other financial services sector above banking and insurance are of limited use, because the analysis does not clearly identify the firms included in that category even though a substantial portion of them may be hedge funds.

Source quote, verbatim

Their analysis, however, does not clearly identify firms included in this "other" financial services sector even though a substantial portion of these entities may be hedge funds.

From

Wulf A. Kaal, Timothy A. Krause, Hedge Funds and Systemic Risk (2016), POST-CRISIS EVIDENCE ON THE SYSTEMIC RISK OF HEDGE FUNDS, p. 18
https://ssrn.com/abstract=2748096 · source PDF

Cite as

Wulf A. Kaal, Timothy A. Krause, Hedge Funds and Systemic Risk (2016). SSRN: https://ssrn.com/abstract=2748096

Holds when

applies to CoVaR based sector rankings of systemic risk contribution

Classification

failuresupport: arguedfailure: unidentified residual sectorfamily: measurement-and-metric-failuresystemic-riskresearch-methodsrisk-and-incentives

Verify

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