
Contagion Analysis In The Banking Sector
Darolles, Serge; Dubecq, Simon; Gouriéroux, Christian (2014), Contagion Analysis In The Banking Sector, 31st International French Finance Association Conference, AFFI 2014, 2014-05, Aix-en-Provence, FRANCE
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Type
Communication / ConférenceDate
2014Conference title
31st International French Finance Association Conference, AFFI 2014Conference date
2014-05Conference city
Aix-en-ProvenceConference country
FRANCEMetadata
Show full item recordAuthor(s)
Darolles, SergeDauphine Recherches en Management [DRM]
Dubecq, Simon
European Central Bank
Gouriéroux, Christian
Centre de Recherche en Économie et Statistique [CREST]
Abstract (EN)
This paper analyses how an external adverse shock will impact the financial situations of banks and insurance companies and how it will diffuse among these companies. In particular we explain how to disentangle the direct and indirect (contagion) effects of such a shock, how to exhibit the contagion network and how to detect the ”superspreaders”, i.e. the most important firms involved in the contagion process. This method is applied to a network of 8 large European banks in order to analyze whether the revealed interconnections within these banks differ depending on the underlying measure of banks’ financial positions, namely their market capitalization, the price of the CDS contract written on their default and their book value.Subjects / Keywords
Systemic Risk; Canonical Correlation; Credit Default Swaps; Default Dependence; ContagionRelated items
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