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Fire Sales Forensics: Measuring Endogenous Risk · Study

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PreprintFire Sales Forensics: Measuring Endogenous Risk

Rama Cont A2012

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Preprintgreen2012

Fire Sales Forensics: Measuring Endogenous Risk

Rama Cont A · Lakshithe Wagalath

59 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

2002Dynamic Conditional Correlation 2003Modeling and Forecasting Realized Volatility 1992Liquidation Values and Debt Capacity: A Market Equilibrium Approach 2005Asset Fire Sales (and Purchases) in Equity Markets 2001Contagion as a Wealth Effect 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 2011Fire Sales in Finance and Macroeconomics 2005Predatory Trading

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2014Diversification and systemic risk 2018Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction 2018Strategic fire-sales and price-mediated contagion in the banking system 2019An SPDE model for systemic risk with endogenous contagion

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2014FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISKarticle · 21 shared references 2016Fire Sales, Indirect Contagion and Systemic Stress Testingpreprint · 9 shared references 2012RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETSarticle · 8 shared references 2021Crowded Trades and Tail Riskarticle · 8 shared references 2017Fire Sales, Indirect Contagion and Systemic Stress Testingpreprint · 7 shared references 2019Monitoring indirect contagionarticle · 7 shared references

Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations59

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.2051013

openalex_workW2140366835

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