Financial contagion in investment funds

Leonardo dos Santos Pinheiro and Flavio Codeco Coelho

Papers from arXiv.org

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.

Date: 2016-03
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1603.03458

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