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 (24)

• An SPDE model for systemic risk with endogenous contagion
• An adaptive dynamical model of default contagion
• Does expectation of correlation breakdown in financial market fulfill itself?
• 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
• Trading with the crowd
• The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks
• When micro prudence increases macro risk: the destabilizing effects of financial innovation, leverage, and diversification
• A liquidation risk adjustment for value at risk and expected shortfall
• Speculative behavior and the dynamics of interacting stock markets
• Lost in contagion? Building a liquidation index from covariance dynamics
• Capital regulation under price impacts and dynamic financial contagion
• Efficient simulation of Lévy-driven point processes
• Inhomogeneous financial networks and contagious links
• Fire sales forensics: measuring endogenous risk
• The topology of overlapping portfolio networks
• Pricing of debt and equity in a financial network with comonotonic endowments
• Suffocating Fire Sales
• Reverse stress testing: Scenario design for macroprudential stress tests
• Investor redemptions and fund manager sales of emerging market bonds: how are they related?
• A feedback model for the financialization of commodity markets
• Financial contagion and asset liquidation strategies

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