Show simple item record

dc.contributor.authorDarolles, Serge*
dc.contributor.authorDudek, Jérémy*
dc.contributor.authorLe Fol, Gaëlle*
dc.date.accessioned2014-06-30T07:42:32Z
dc.date.available2014-06-30T07:42:32Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13621
dc.language.isoenen
dc.subjectLiquidity
dc.subjectSovereign Debt Market
dc.subjectEmerging Markets
dc.subjectSwitching models
dc.subjectContagion Effects
dc.subjectRegime
dc.subjectLiquidity Risk Management
dc.subject.ddc332en
dc.subject.classificationjelG.G0.G01en
dc.subject.classificationjelG.G1.G15en
dc.subject.classificationjelC.C0.C01en
dc.subject.classificationjelC.C3.C32en
dc.titleLiquidity risk and contagion for liquid funds
dc.typeCommunication / Conférence
dc.description.abstractenFund managers face liquidity problems but they have to distinguish the market liquidity risk implied by their assets and the funding liquidity risk. This latter is due to both the liquidity mismatch between assets and liabilities and the redemption risk due to the possible outflows from clients. The main contribution of this paper is the analysis of contagion looking at common market liquidity problems to detect funding liquidity problems. Using the CDS Bond Spread basis as a liquidity indicator and a state space model with time-varying volatility specification, we show that during the 2007-2008 financial crisis, there exist pure contagion effects both in terms of price and liquidity on the emerging sovereign debt market. This result has strong implication since the main risk for an asset manager is to get stuck with an unwanted position due to a dry-up of market liquidity.
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle31st International French Finance Association Conference, AFFI 2014
dc.relation.confdate2014-05
dc.relation.confcityAix-en-Provence
dc.relation.confcountryFRANCE
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2017-02-21T08:32:44Z
hal.person.labIds1032*
hal.person.labIds1032*
hal.person.labIds1032*
hal.identifierhal-01632776*


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record