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Financial contagion in investment funds
March 09, 2016 Β· Declared Dead Β· π arXiv.org
"No code URL or promise found in abstract"
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Authors
Leonardo dos Santos Pinheiro, Flavio Codeco Coelho
arXiv ID
1603.03458
Category
q-fin.RM
Cross-listed
cs.SI
Citations
0
Venue
arXiv.org
Last Checked
3 months ago
Abstract
Many new models for measuring financial contagion have been presented recently. While these models have not been specified for investment funds directly, there are many similarities that could be explored to extend the models. In this work we explore ideas developed about financial contagion to create a network of investment funds using both cross-holding of quotas and a bipartite network of funds and assets. Using data from the Brazilian asset management market we analyze not only the contagion pattern but also the structure of this network and how this model can be used to assess the stability of the market.
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