New research on whether investment vehicles can mitigate effects of runs

The Central Bank has published a new Research Technical Paper by Frances Shaw and Peter G. Dunne titled ‘Investment Fund Risk: The Tale in the Tails’ (PDF 1.14MB).

• Marginal Expected Shortfall is a good measure of an investment fund’s exposures to systemic risk. This may be useful in targeting supervision and informing fund regulation.
• Tail risk exposure is predominantly a feature of the equity fund sector & use of leverage is an important contributor.
• Retail investors are relatively more exposed to systemic but do not earn higher returns to compensate.

Notes

The views presented in Research Technical Papers are those of the authors alone and do not necessarily represent the official views of the Central Bank of Ireland.

Research Technical Papers are published on the Central Bank’s website here.