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
TypeCommunication / Conférence
Conference title31st International French Finance Association Conference, AFFI 2014
MetadataShow full item record
Dauphine Recherches en Management [DRM]
European Central Bank
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 / KeywordsSystemic Risk; Canonical Correlation; Credit Default Swaps; Default Dependence; Contagion
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