Dudley, Evan; Nimalendran, Mahendrarajah - In: Journal of Financial and Quantitative Analysis 46 (2011) 05, pp. 1227-1257
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...