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Survival of Hedge Funds: Frailty vs Contagion

hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorDarolles, Serge*
hal.structure.identifierUniversity of Lugano and Swiss Finance Institute
dc.contributor.authorGagliardini, Patrick*
hal.structure.identifierCentre de Recherche en Économie et Statistique [CREST]
dc.contributor.authorGouriéroux, Christian*
dc.date.accessioned2014-07-23T14:40:50Z
dc.date.available2014-07-23T14:40:50Z
dc.date.issued2013-06
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13780
dc.language.isoenen
dc.subjectFonds spéculatifsen
dc.subjectRisqueen
dc.subjectLiquidité (économie politique)en
dc.subjectHedge Funden
dc.subjectLiquidation Correlationen
dc.subjectFrailtyen
dc.subjectContagionen
dc.subjectDynamic Count Modelen
dc.subjectAutoregressive Gamma Processen
dc.subjectSystemic Risken
dc.subjectStress-testsen
dc.subjectLiquidation Swapen
dc.subjectFunding Liquidityen
dc.subjectMarket Liquidityen
dc.subject.ddc332en
dc.subject.classificationjelC.C2.C23en
dc.subject.classificationjelG.G1.G12en
dc.titleSurvival of Hedge Funds: Frailty vs Contagionen
dc.typeCommunication / Conférence
dc.contributor.editoruniversityotherUniversité de Lugano;Suisse
dc.contributor.editoruniversityotherUniversity of Toronto;Canada
dc.description.abstractenIn 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.en
dc.identifier.citationpages70en
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle22nd Annual Meeting of the European Financial Management Association - EFMA 2013en
dc.relation.confdate2013-06
dc.relation.confcityReadingen
dc.relation.confcountryRoyaume-Unien
dc.relation.forthcomingnonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
hal.identifierhal-01632897*
hal.version1*
hal.update.actionupdateMetadata*
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