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Contagion phenomena with applications in finance

Darolles, Serge; Gourieroux, Christian (2015), Contagion phenomena with applications in finance, Elsevier : Amsterdam

Type
Ouvrage
Date
2015
Publisher
Elsevier
Published in
Amsterdam
ISBN
978-1-78548-035-5
Metadata
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Author(s)
Darolles, Serge
Dauphine Recherches en Management [DRM]
Gourieroux, Christian
Department of Economics
Abstract (EN)
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.
Subjects / Keywords
systematic risks; shock; SVAR models
JEL
D53 - Financial Markets
G14 - Information and Market Efficiency; Event Studies; Insider Trading

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    Contagion Analysis In The Banking Sector 
    Darolles, Serge; Dubecq, Simon; Gouriéroux, Christian (2014) Communication / Conférence
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    Conditionally fitted Sharpe performance with an application to hedge fund rating 
    Christian, Gourieroux; Darolles, Serge (2010-03) Article accepté pour publication ou publié
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    L-performance with an application to hedge funds 
    Darolles, Serge; Gouriéroux, Christian; Jasiak, Joann (2009) Article accepté pour publication ou publié
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    Survival of Hedge Funds: Frailty vs Contagion 
    Darolles, Serge; Gagliardini, Patrick; Gouriéroux, Christian (2013-06) Communication / Conférence
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    Survival of Hedge Funds: Frailty vs Contagion 
    Gagliardini, Patrick; Gouriéroux, Christian; Darolles, Serge (2011-04) Communication / Conférence
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