This paper provides evidence on the interaction between hedge funds' performance and their market liquidity risk and … funding liquidity risk. We demonstrate that funding liquidity risk is an important determinant of hedge fund performance …

risk and return constraints that implicitly target all the moments of the hedge fund return distribution. We use the …-based model, offering a closer match to both the return performance and risk characteristics of the hedge fund strategy indices …

options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles … reflects optimal risk-taking by fund families with low market share, especially those entering the market after 2006. Using … plan-level data, we find little evidence that 401(k) plan sponsors match the risk profile of the TDFs in their plans to the …

Do risk disclosures by mutual funds reflect funds’ actual investment risks? Using textual analysis, we examine risk … types of risks disclosed by funds and study the relation between fund-disclosed risks and risk factors documented in … academic studies. We find that most disclosed risks can be linked to meaningful and well-known academic risk factors. In our …

; these products are more likely to provide the expected risk exposure investors desire. Also this paper performs two mean …

banks, insurers and pension funds. However, few investment fund climate-related financial risk assessments have been … apparent diversification hides a concentration risk: brown funds are more closely connected with each other (have more similar … climate risk scenario exercise confirms this: within total system-wide losses of EUR 152 billion to EUR 443 billion, most …

Following the financial crisis of 2008, it has been argued that Value at Risk (VaR), and risk analysis in general …, failed to alert risk managers of the turbulence on the horizon. This is a misguided view that should not have come as a … illustrate implied riskiness of portfolios if turbulence occurs. The analysis implies that no mechanical risk analysis is …

(with or without risk-free opportunity) and symmetric α-stables/substables, this paper also gives separation results for non …-symmetric stable returns distributions under no shorting-conditions, this including new cases of one fund separation without risk …

and measure their risk assessment. We validate the forward-looking nature of the risk measure by showing that more … negative (positive) risk assessment in managers' narratives leads to a reduction (increase) of portfolio risk in the subsequent … period. The forward-looking risk assessment measure also reflects managerial skills: managers who are conscious of negative …