Stress Testing Spillover Risk in Mutual Funds

• 成果类型: Article
• 署名作者: Capponi, Agostino; Glasserman, Paul; Weber, Marko Hans
• 署名单位: Columbia University; Columbia University; National University of Singapore
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.03443
• 发表日期: 2025
• 关键词: mutual funds; liquidity mismatch; fire-sale externalities; first-mover incentive; Systemic risk; Stress testing

摘要

We develop a framework to quantify the vulnerability of mutual funds to fire-sale spillover losses. We account for the first-mover incentive that results from the mismatch between the liquidity offered to redeeming investors and the liquidity of assets held by the funds. In our framework, the negative feedback loop between investors' redemptions and price impact from asset sales leads to an aggregate change in funds' net asset value, which is determined as a fixed point of a nonlinear mapping. We show that a higher concentration of first movers increases the aggregate vulnerability of the system as measured by the ratio between endogenous losses triggered by fund redemptions and exogenous losses caused by initial price shocks only. When calibrated to U.S. mutual funds, our model shows that, in stressed market scenarios, spillover losses are significantly amplified through a nonlinear response to initial shocks that results from the first-mover incentive. Higher spillover losses provide a stronger incentive to redeem early, further increasing fire-sale losses and the transmission of shocks through overlapping portfolio holdings.