Margins and Hedge Fund Contagion
基于期货保证金构建融资风险度量指标，实证发现保证金上升会显著增加对冲基金间的传染概率，次贷危机期间幅度可致概率上升34%，并识别出不同类型基金的脆弱性差异。
Abstract Funding risk measures the extent to which a fund can borrow money by posting collateral. Using a novel measure of funding risk based on futures margins, we are able to empirically identify the mechanism by which changes in funding risk affect the likelihood of contagion. An increase in margins of the order of magnitude observed during the subprime crisis increases the probability of contagion among certain types of funds by up to 34%. Our analysis shows that some types of hedge funds are more vulnerable to contagion than others. Our results also suggest that policies that limit the magnitude of changes in margins over short periods of time may reduce the likelihood of contagion among hedge funds.