Liquidity risk and contagion for liquid funds

Conference object English OPEN
Darolles , Serge; Dudek , Jeremy; Le Fol , Gaëlle;
(2014)
  • Publisher: HAL CCSD
  • Subject: Regime | JEL : G - Financial Economics/G.G1 - General Financial Markets/G.G1.G15 - International Financial Markets | JEL : G.G1.G15 | JEL : G.G0.G01 | Liquidity | Contagion Effects | JEL : C.C3.C32 | JEL : G - Financial Economics/G.G0 - General/G.G0.G01 - Financial Crises | Liquidity Risk Management | [SHS.GESTION] Humanities and Social Sciences/Business administration | Switching models | JEL : C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models | [ SHS.GESTION ] Humanities and Social Sciences/Business administration | Emerging Markets | JEL : C.C0.C01 | Sovereign Debt Market | JEL : C - Mathematical and Quantitative Methods/C.C0 - General/C.C0.C01 - Econometrics

Fund managers face liquidity problems but they have to distinguish the market liquidity risk implied by their assets and the funding liquidity risk. This latter is due to both the liquidity mismatch between assets and liabilities and the redemption risk due to the possi... View more
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