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dc.contributor.authorDarolles, Serge
dc.contributor.authorGouriéroux, Christian
dc.contributor.authorGagliardini, Patrick
dc.date.accessioned2012-03-12T15:35:11Z
dc.date.available2012-03-12T15:35:11Z
dc.date.issued2011
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/8442
dc.language.isoenen
dc.subjectHedge fundsen
dc.subjectAutoregressive Gamma Process
dc.subjectContagion Dynamic Count Model
dc.subjectFrailty
dc.subjectLiquidation Correlation
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.subject.classificationjelC23
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.
dc.identifier.citationpages54en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleInternational Conference on Stochastic Analysis and Applicationsen
dc.relation.confdate2011-10
dc.relation.confcityHammameten
dc.relation.confcountryTunisieen


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