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Survival of Hedge Funds: Frailty vs Contagion

Darolles, Serge; Gagliardini, Patrick; Gouriéroux, Christian (2013-06), Survival of Hedge Funds: Frailty vs Contagion, 22nd Annual Meeting of the European Financial Management Association - EFMA 2013, 2013-06, Reading, Royaume-Uni

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EFMA2013_0087_fullpaper.pdf (513.3Kb)
Type
Communication / Conférence
Date
2013-06
Conference title
22nd Annual Meeting of the European Financial Management Association - EFMA 2013
Conference date
2013-06
Conference city
Reading
Conference country
Royaume-Uni
Pages
70
Metadata
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Author(s)
Darolles, Serge
Dauphine Recherches en Management [DRM]
Gagliardini, Patrick
University of Lugano and Swiss Finance Institute
Gouriéroux, Christian
Centre de Recherche en Économie et Statistique [CREST]
Abstract (EN)
In this paper we examine the dependence between the liquidation risks of individual hedge funds. This dependence can result either from common exogenous shocks (shared frailty), or from 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 test for the presence of such dependence effects, according to the age and management style of the fund. We demonstrate the empirical relevance of our approach by measuring the magnitudes of contagion and exogenous frailty in liquidation risk dependence in the TASS database. The empirical analysis is completed by stress-tests on portfolios of hedge funds.
Subjects / Keywords
Fonds spéculatifs; Risque; Liquidité (économie politique); Hedge Fund; Liquidation Correlation; Frailty; Contagion; Dynamic Count Model; Autoregressive Gamma Process; Systemic Risk; Stress-tests; Liquidation Swap; Funding Liquidity; Market Liquidity
JEL
C23 - Panel Data Models; Spatio-temporal Models
G12 - Asset Pricing; Trading Volume; Bond Interest Rates

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