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时间:2020-03-27
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1、FinancialContagioninInvestmentFundsLEONARDODOSSANTOSPINHEIROFLAVIO´CODEC¸OCOELHOGetulioVargasFoundationSeptember3,2018AbstractManynewmodelsformeasuringfinancialcontagionhavebeenpresentedrecently.Whilethesemodelshavenotbeenspecifiedforinvestmentfundsdirectly,therearemanysimilaritiesth
2、atcouldbeexploredtoextendthemodels.Inthisworkweexploreideasdevel-opedaboutfinancialcontagiontocreateanetworkofinvestmentfundsusingbothcross-holdingofquotasandabipartitenetworkoffundsandassets.UsingdatafromtheBrazilianassetmanagementmarketweanalyzenotonlythecontagionpatternbutalsothe
3、structureofthisnetworkandhowthismodelcanbeusedtoassessthestabilityofthemarket.Keywords:financialnetworks,assetmanagement,contagionarXiv:1603.03458v1[q-fin.RM]9Mar201611IntroductionInrecentyearstheuseofnetworkrepresentationsforthestudyofeconomicsystemshasbecomeubiquitous,withmanyappl
4、icationsinthestudyoflabormarkets,micro-financeandproductionchainsAllenandBabus(2008).Aspecialsubjectinthesetopicsisthestudyoffinancialsystems.Sincetheglobalfinancialcrisisthathittheworldin2007-08theinterestintheintricatewaysinwhichfinancialinstitutionsareintertwinedhassoared,withstudie
5、sshowingtheseveralfacetsoftheinterconnectionsoffinancialsystems,speciallyinthewaytheseconnectionsaffectglobalstability.The2007-08crisis,whichstartedintheUSsub-primemortgagemar-ket,rapidlyspilledovertodebtmarketsinaprocessoffinancialcontagionthatultimatelyledtothedemiseofmajorAmerican
6、andEuropeanbanksandtriggeredaworldrecessionthatspannedyears.InterconnectionisalsoacauseofmajorconcernintheongoingEuropeandebtcrisis,withworriesthattheinterconnectionintheEuropeanbanksystemmaycauseaseriouscrisisifonenationdefaultsonitssovereigndebtorentersintorecessionputtingsomeoft
7、heexternalprivatedebtatrisk.Duetotheaforementionedevents,muchofthestudiesonthecon-nectednessoffinancialinstitutionsisfocusedonthemutualexposuresbetweenbanks,speciallytheonesacquiredontheinterbankmarket(seeCoccoetal.(2009),Mistrulli(2011)andIorietal.(2006)).Butmorerecentlysomeattenti
8、onhasbeendevotedtonon-bank
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