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The Impact of industry's features on financial risk contagion of Companies Listed in Tehran Stock Exchange [PDF]
مدلسازی اقتصادسنجی, 2020 The correlation between market movements and returns is an important issue in risk management and investment portfolio strategies. Investors who try to diversify their assets in regional markets pay special attention to communications between financial ...
Mohammad Ghadamyari +1 more
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Financial Institutions, Financial Contagion, and Financial Crises [PDF]
IMF Working Papers, 2000 Financial crises are endogenized through corporate and interbank market institutions. Single-bank financing leads to a pooling equilibrium in the interbank market. With private information about one’s own solvency, the best illiquid banks will not borrow but rather will liquidate some premature assets.
Huang, H, Xu, C
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THE METHODOLOGY FOR MEASURING FINANCIAL CONTAGION: THE CASE STUDY OF BANK DEFAULT RISK SIMULATION
Финансы: теория и практика, 2017 The paper focuses on the methods used for measuring financial contagion through simulation of the bank default risk viewed as a trigger event. Systemic risk and financial contagion as well as the mechanism which enables system risk implementation are ...
V. E. Rasskazov
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Financial Contagion of Russian Companies from the Oil Market under the Influence of Sanctions and Pandemic Shock [PDF]
Финансовый журнал, 2022 The article presents an overview of theoretical approaches to the study of the content and channels of financial contagion, the main methods and models of its quantitative analysis.
Marina Yu. Malkina, Anton O. Ovcharov
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P2P Lending Risk Contagion Analysis Based on a Complex Network Model
Discrete Dynamics in Nature and Society, 2016 This paper analyzes two major channels of P2P lending risk contagion in China—direct risk contagion between platforms and indirect risk contagion with other financial organizations as the contagion medium.
Qi Wei, Qiang Zhang
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Analysis the risk contagion from financial sector to other economic sectors [PDF]
Mathematics and Modeling in Finance, 2023 This research has three main goals. The first goal is to investigate the contagion of the risk from the financial sector to other industries. The second objective is to examine the impact of the competitiveness of industries on the spread of the risk ...
Reza Raei, Alireza Najjarpour
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Financial contagion and asset pricing [PDF]
Journal of Banking & Finance, 2013 Asset market interconnectedness can give rise to significant contagion risks during periods of financial crises that extend beyond the risks associated with changes in volatilities and correlations. These channels include the transmission of shocks operating through changes in the higher order comoments of asset returns, including changes in coskewness
Fry-McKibbin, R, Martin, VL, Tang, C
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Bank Diversity and Financial Contagion
Journal of Financial Stability, 2023 claims and common assets. We find that asset commonality makes banking systems more vulnerable to idiosyncratic liquidity shocks and helps to determine which interbank network structures are resistant to contagion. When the degree of commonality is homogeneous across banks, the complete interbank network, in which each bank borrows evenly from all the ...
Caiazzo E., Zazzaro A.
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Financial Market Contagion [PDF]
, 2008 The power of the metaphor of contagion—that beliefs, actions, and strategies spread among economic agents like pathogens among biological organisms— causes it to recur in disparate areas of economics. This article focusses on four applications of contagion to economics: social influence or memoryless learning; Bayesian social learning; strategy choice ...
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The Unholy Trinity of Financial Contagion [PDF]
Journal of Economic Perspectives, 2003 Over the last 20 years, some financial events, such as devaluations or defaults, have triggered an immediate adverse chain reaction in other countries -- which we call fast and furious contagion. Yet, on other occasions, similar events have failed to trigger any immediate international reaction.
Graciela L. Kaminsky +2 more
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