Shane M. Haas

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NBER Working Papers and Publications

January 2007Systemic Risk and Hedge Funds
with Nicholas Chan, Mila Getmansky, Andrew W. Lo
in The Risks of Financial Institutions, Mark Carey and René M. Stulz, editors
March 2005Systemic Risk and Hedge Funds
with Nicholas Chan, Mila Getmansky, Andrew W. Lo: w11200
Systemic risk is commonly used to describe the possibility of a series of correlated defaults among financial institutions---typically banks---that occur over a short period of time, often caused by a single major event. However, since the collapse of Long Term Capital Management in 1998, it has become clear that hedge funds are also involved in systemic risk exposures. The hedge-fund industry has a symbiotic relationship with the banking sector, and many banks now operate proprietary trading units that are organized much like hedge funds. As a result, the risk exposures of the hedge-fund industry may have a material impact on the banking sector, resulting in new sources of systemic risks. In this paper, we attempt to quantify the potential impact of hedge funds on systemic risk by develop...

Published: Carey, Mark and Rene M. Stulz (eds.) The Risks of Financial Institutions. Chicago and London: University of Chicago Press, 2006.

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