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Risk spillover among hedge funds: The role of redemptions and fund failures

Klaus, Benjamin; Rzepkowski, Bronka - European Central Bank - 2009

This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We...

Persistent link: https://www.econbiz.de/10008472142

Technological diversification

Koren, Miklós; Tenreyro, Silvana - European Central Bank - 2005

technological diversification. Production makes use of different input varieties, which are subject to imperfectly correlated shocks …. In our model, the expansion in the number of varieties provides diversification benefits against variety-specific shocks …

Persistent link: https://www.econbiz.de/10005162905

Risk sharing, finance and institutions in international portfolios

Fratzscher, Marcel; Imbs, Jean - European Central Bank - 2007

We show that international consumption risk sharing is significantly improved by capital flows, especially portfolio investment. Concomitantly, we show that poor institutions hamper risk sharing, but to an extent that decreases with openness. In particular, risk sharing is prevalent even among...

Persistent link: https://www.econbiz.de/10005530957

Internationally correlated jumps

Pukthuanthong, Kuntara; Roll, Richard - European Central Bank - 2012

diversification is less effective when jumps are frequent, unpredictable and strongly correlated. Public supervisors may also mind …

Persistent link: https://www.econbiz.de/10010686814

Finance and diversification

Manganelli, Simone; Popov, Alexander - European Central Bank - 2010

We study how financial market efficiency affects a measure of diversification of output across industrial sectors … and for various levels of disaggregation, we construct a benchmark measure of diversification as the set of allocations of … patterns disappear when we employ "naive" measures of diversification based on the equal spreading of output across sectors …

Persistent link: https://www.econbiz.de/10008679924

Cross-border lending contagion in multinational banks

Derviz, Alexis; Podpiera, Jirí - European Central Bank - 2007

We study both theoretically and empirically the inter- dependence of lending decisions in different country branches of a multinational bank. First, we model a bank that delegates the management of its foreign unit to a local manager with non-transferable skills. The bank differs from other...

Persistent link: https://www.econbiz.de/10005222398