Survival of Hedge Funds : Frailty vs Contagion
Year of publication: |
2012-11
|
---|---|
Authors: | Darolles, Serge ; Gagliardini, Patrick ; Gouriéroux, Christian |
Institutions: | Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) |
Subject: | Hedge Fund | Liquidation Correlation | Frailty | Contagion | Dynamic Count Model | Autoregressive Gamma Process | Systemic Risk | Stress-tests | Liquidation Swap | Funding Liquidity | Market Liquidity |
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