Survival of Hedge Funds: Frailty vs Contagion
Darolles, Serge; Gouriéroux, Christian; Gagliardini, Patrick (2011), Survival of Hedge Funds: Frailty vs Contagion, International Conference on Stochastic Analysis and Applications, 2011-10, Hammamet, Tunisie
TypeCommunication / Conférence
Conference titleInternational Conference on Stochastic Analysis and Applications
MetadataShow full item record
Abstract (EN)The 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.
Subjects / KeywordsHedge funds; Autoregressive Gamma Process; Contagion Dynamic Count Model; Frailty; Liquidation Correlation
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lq-regularization of the Kalman ﬁlter for exogenous outlier removal: application to hedge funds analysis Gouriéroux, Christian; Darolles, Serge; Jay, Emmanuelle; Duvaut, Patrick (2011) Communication / Conférence