We develop a general equilibrium model of self-fulfilling bank runs in a setting without aggregate risk. The key novelty is the way in which the banking system’s assets and liabilities are connected. Banks issue loans to entrepreneurs who sell goods to (impatient) households, which in turn pay...

Illiquidity is a common feature of alternative investments, whether one chooses venture capital, private equity, or hedge funds. For hedge funds, the illiquidity can arise from the contracts an investor enters into, which may have one year or longer lock-ups or can arise from the type of...

This paper is a piece for contributing to the sustainable European stake in order to interlock financial systems with the objectives of the 2030 Agenda (the UN’s SDGs). It is intended to be used as a platform for discussion between risk management practitioners in the financial industry and...

Using hedge fund indices representing eight different styles, we find strong evidence of contagion within the hedge fund sector: controlling for a number of risk factors, the average probability that a hedge fund style index has extreme poor performance (lower 10% tail) increases from 2% to 21%...

We provide a model of hedge fund securing financing from a prime broker where deterioration in collateral value exacerbates counterparty risk and liquidity risk for the prime broker due to strategic actions of hedge funds. Costs of liquidity insurance and enforcing contracts determine hedge fund...

I show a near symmetrical adverse effect of shorting flow impediments (caused by an exchange driven short-sale ban or securities lending market-driven constraints) on the buy and sell order flow price impact and liquidity supply dynamics. Overall, I find that the liquidity cost asymmetry is...