1 Parvis de la Défense
Paris, 92044
France
IESEG School of Management
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fire sales, distressed selling, liquidity, diffusion models, market impact, price impact, correlation, volatility
liquidity, liquidation, deleveraging, fire sales, London Whale, JP Morgan CIO, market impact, risk management, LVaR, liquidity-adusted Value-at-Risk
fire sales, endogenous risk, systemic risk, liquidity, financial econometrics, correlation, volatility
Volatility Index, VIX, VIX Exchange-Traded Notes, VXX
leveraged ETF, ETF, liquidity, active management, fund re-balancing, regulation
Institutional investors, liquidity, endogenous risk, feedback effects, correlation, dependence structure of asset returns
liquidation risk, fire sales, value at risk, expected shortfall, risk management, price impact
Fire sales, price-mediated contagion, Nash equilibrium with strategic complementarities, CCAR 2015, macro-prudential stress-tests
Fire sales, fund liquidations, contagion, systemic risk, covariances, liquidity