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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 / Conférence
Date
2014
Conference title
31st International French Finance Association Conference, AFFI 2014
Conference date
2014-05
Conference city
Aix-en-Provence
Conference country
FRANCE
Metadata
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Author(s)
Darolles, Serge
Dauphine 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; Contagion
JEL
G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
G22 - Insurance; Insurance Companies; Actuarial Studies
G24 - Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies

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