This paper analyses how an external adverse shock will impact the financial situations of banks and insurance companies and how it will diffuse among these companies. In particular we explain how to disentangle the direct and indirect (contagion) effects of such a shock, how to exhibit the...

This paper presents a simple and efficient exogenous outlier detection & estimation algorithm introduced in a regularized version of the Kalman Filter (KF). Exogenous outliers that may occur in the observations are considered as an additional stochastic impulse process in the KF observation...

A characteristic of hedge funds is not only an active portfolio management, but also the allocation of portfolio performance between different accounts, which are the accounts for the external investors, an account for the management firm and a provision account. Despite a lack of transparency...