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Financial contagion in investment funds

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  • Leonardo dos Santos Pinheiro
  • Flavio Codeco Coelho

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.

Suggested Citation

  • Leonardo dos Santos Pinheiro & Flavio Codeco Coelho, 2016. "Financial contagion in investment funds," Papers 1603.03458, arXiv.org.
    • Handle: RePEc:arx:papers:1603.03458
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    References listed on IDEAS

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