Can Swing Pricing Prevent Mutual Fund Runs and Fire Sales?


We develop a model of the feedback between mutual fund outflows and asset illiquidity. Alert investors anticipate the impact on the fund's net asset value of other investors' redemptions and exit first at favorable... [ view full abstract ]


  1. Marko Weber (Columbia University)
  2. Agostino Capponi (Columbia University)
  3. Paul Glasserman (Columbia University)

Topic Areas

Liquidity , Market Frictions , Systemic Risk


MO-A-EM » Systemic Risk (11:30 - Monday, 16th July, Emmet)

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