Investment funds' vulnerabilities : A Tail-risk Dynamic CIMDO Approach

This study measures investment funds’ systemic credit risk in three forms: (1) credit risk common to all funds within each of the seven categories National Central Banks report to the ECB; (2) credit risk in each category of investment fund conditional on distress on another category of investment fund and; (3) the build-up of investment funds’ vulnerabilities which may lead to a disorderly unraveling.