Show simple item record

dc.contributor.authorGagliardini, Patrick
dc.contributor.authorGouriéroux, Christian
dc.contributor.authorDarolles, Serge
dc.date.accessioned2012-09-28T10:02:26Z
dc.date.available2012-09-28T10:02:26Z
dc.date.issued2011-04
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/10334
dc.language.isoenen
dc.subjectHedge Funden
dc.subjectLiquidation Correlationen
dc.subjectFrailtyen
dc.subjectContagion Dynamic Count Modelen
dc.subjectAutoregressive Gamma Processen
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.subject.classificationjelC23en
dc.titleSurvival of Hedge Funds: Frailty vs Contagionen
dc.typeCommunication / Conférence
dc.description.abstractenThe rather short lifetimes of a majority of hedge funds and the reasons of their liquidation explain the interest of investors and academics in hedge fund survival analysis. In this paper we are interested in the dependence between liquidation risks of individual hedge funds. This dependence can either result from common exogenous shocks (frailty), or be due to contagion phenomena, which occur when an endogenous behaviour of a fund manager impacts the Net Asset Values of other funds. We introduce dynamic models able to distinguish between frailty and contagion phenomena, and to test for the presence and magnitude of such dependence effects, according to the age and management style of the fund.en
dc.identifier.citationpages57en
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleEuropean Economic Association & Econometric Societyen
dc.relation.confdate2012-08
dc.relation.confcityMalagaen
dc.relation.confcountryEspagneen
dc.relation.forthcomingnonen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record