Contagion Phenomena with Applications in Finance

Download or Read online Contagion Phenomena with Applications in Finance full in PDF, ePub and kindle. This book written by Serge Darolles and published by Elsevier which was released on 26 August 2015 with total pages 166. We cannot guarantee that Contagion Phenomena with Applications in Finance book is available in the library, click Get Book button to download or read online books. Join over 650.000 happy Readers and READ as many books as you like.

Contagion Phenomena with Applications in Finance
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Publisher : Elsevier
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ISBN : 9780081004784
Pages : 166 pages
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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

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

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