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

DOI10.1111/J.1467-9965.2011.00510.XMaRDI QIDQ2851561zbMATHOpenAlexFDO

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

zbMATH Keywords

volatilitysystemic riskliquidityquadratic covariationendogenous riskrealized covariancefeedback effectsfire resales

Mathematics Subject Classification ID

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

Recommendations

• Optimal Portfolio Liquidation with Distress Risk
• Institutional investors and the dependence structure of asset returns
• Fire sales forensics: measuring endogenous risk
• Lost in contagion? Building a liquidation index from covariance dynamics
• Dynamic instability in a phenomenological model of correlated assets

Cites work

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

Cited in

(24)

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

This page was built for publication: Running for the exit: distressed selling and endogenous correlation in financial markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2851561)