Contagion Phenomena with Applications in Finance

  • Publsiher : Elsevier
  • Release : 26 August 2015
  • ISBN : 9780081004784
  • Page : 166 pages
  • Rating : 4/5 from 21 voters

Download or read online book entitled Contagion Phenomena with Applications in Finance written by Serge Darolles and published by Elsevier. This book was released on 26 August 2015 with total page 166 pages. Available in PDF, EPUB and Kindle. Get best books that you want by click Get Book Button and Read as many books as you like. Book Excerpt : Much research into financial contagion and systematic risks has been motivated by the finding that cross-market correlations (resp. coexceedances) between asset returns increase significantly during crisis periods. Is this increase due to an exogenous shock common to all markets (interdependence) or due to certain types of transmission of shocks between markets (contagion)? Darolles and Gourieroux explain that an attempt to convey contagion and causality in a static framework can be flawed due to identification problems; they provide a more precise definition of the notion of shock to strengthen the solution within a dynamic framework. This book covers the standard practice for defining shocks in SVAR models, impulse response functions, identitification issues, static and dynamic models, leading to the challenges of measurement of systematic risk and contagion, with interpretations of hedge fund survival and market liquidity risks Features the standard practice of defining shocks to models to help you to define impulse response and dynamic consequences Shows that identification of shocks can be solved in a dynamic framework, even within a linear perspective Helps you to apply the models to portfolio management, risk monitoring, and the analysis of financial stability

Contagion Phenomena with Applications in Finance

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Publisher: Elsevier
Relase: 2015-08-26
ISBN: 9780081004784
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