Running for the exit: distressed selling and endogenous correlation in financial markets

DOI10.1111/J.1467-9965.2011.00510.XzbMATH Open1275.91057OpenAlexW3125549285MaRDI QIDQ2851561FDOQ2851561

Authors: Rama Cont, Lakshithe Wagalath 

Publication date: 11 October 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00510.x

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zbMATH Keywords

volatilitysystemic riskliquidityquadratic covariationendogenous riskrealized covariancefeedback effectsfire resales

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• The Wishart autoregressive process of multivariate stochastic volatility
• A multifactor volatility Heston model
• Multivariate COGARCH(1, 1) processes

Cited In (21)

• An SPDE model for systemic risk with endogenous contagion
• An adaptive dynamical model of default contagion
• Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach
• When panic makes you blind: a chaotic route to systemic risk
• Institutional investors and the dependence structure of asset returns
• Modelling the rebalancing slippage of leveraged exchange-traded funds
• Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments
• Trading with the crowd
• A Feedback Model for the Financialization of Commodity Markets
• The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks
• Speculative behavior and the dynamics of interacting stock markets
• Capital regulation under price impacts and dynamic financial contagion
• Efficient simulation of Lévy-driven point processes
• Fire sales forensics: measuring endogenous risk
• The topology of overlapping portfolio networks
• When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification
• Suffocating Fire Sales
• Reverse stress testing: Scenario design for macroprudential stress tests
• A LIQUIDATION RISK ADJUSTMENT FOR VALUE AT RISK AND EXPECTED SHORTFALL
• Inhomogeneous Financial Networks and Contagious Links
• Financial contagion and asset liquidation strategies

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