Contagion Phenomena with Applications in Finance

Nonfiction, Science & Nature, Mathematics, Game Theory
Cover of the book Contagion Phenomena with Applications in Finance by Serge Darolles, Christian Gourieroux, Elsevier Science
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Author: Serge Darolles, Christian Gourieroux ISBN: 9780081004784
Publisher: Elsevier Science Publication: August 26, 2015
Imprint: ISTE Press - Elsevier Language: English
Author: Serge Darolles, Christian Gourieroux
ISBN: 9780081004784
Publisher: Elsevier Science
Publication: August 26, 2015
Imprint: ISTE Press - Elsevier
Language: English

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
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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

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