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Stability Analysis of Assessing Financial Contagion due to Overlapping Portfolios Risk Model based on Mont Carlo Simiulation [PDF]
مطالعات تجربی حسابداری مالی, 2019 The financial contagion and the risk of overlapping portfolios arise from the interconnected relationships and interconnections between investment institutions and markets and can threaten the stability of the entire financial network.
Alireza R ayati Shavazi +3 more
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The impact of the COVID-19 pandemic on the global dynamic spillover of financial market risk
Frontiers in Public Health, 2022 The COVID-19 outbreak has greatly impacted the stability of the global financial markets. In the post-COVID-19 pandemic era, the risk contagion patterns of the global financial markets may change. This paper utilizes the conditional value-at-risk (ΔCoVaR)
Xiaoyu Tan +4 more
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Contagion in the Euro Area Sovereign Bond Market
Social Sciences, 2014 In the last half-decade the European Monetary Union (EMU) has experienced a growing financial instability culminating with an extended sovereign debt crisis that has hit mostly the peripheral countries.
Umberto Muratori
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The Contagion of Global Financial Crisis on Exchange Rate Volatility in Iran: Copula-GARCH Approach [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2022 An important subject in the field of global economy is the financial crisis contagion on various markets. Given the expansion of trade relationships among different countries, proving the existence of contagion will facilitate policymaking in times of ...
Fakhri Mirshojaee +2 more
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Financial Contagion and Attention Allocation [PDF]
The Economic Journal, 2012 This paper explains financial contagion between two stock markets with uncorrelated fundamentals by fluctuations in international investors’ attention allocation. We model the process of attention allocation that underlies portfolio investment in international markets using investors who face information processing constraints.
Jordi Mondria, Climent Quintana Domeque
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The multiplex nature of global financial contagions [PDF]
Applied Network Science, 2020 AbstractAs illustrated by the 2008 global financial crisis, the financial distress of one country can trigger financial distress in other countries. We examine the problem of identifying such “systemically important” countries (i.e., countries whose financial distress can trigger further distress), which is important for assessing global financial ...
R. Maria del Rio Chanona +3 more
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Financial Contagion of the Russian Economy: Intersectoral Aspect
Финансы: теория и практикаThe study’s relevance is due to the need to identify the scale and channels of the spread of crises in the economy based on the use of the financial contagion methodology.
А. О. Ovcharov, A. M. Terekhov
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Financial contagion and depositor monitoring [PDF]
Journal of Banking & Finance, 2013 This paper analyzes market discipline in a many-bank economy where contagion and bank runs interact. We present a model with differently-informed depositors, where those depositors that are more informed have incentives to monitor banks'; investments.
VAN BOMMEL, Jos +2 more
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Partially Overlapping Ownership and Contagion in Financial Networks
Complexity, 2017 Using historical banking data for the United States from the years 2000 to 2015 we characterize the probability and extent of a financial contagion using a calibrated network model of heterogeneous interbank exposures.
Micah Pollak, Yuanying Guan
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Baltic RegionThe global energy crisis of 2021—2022 significantly impacted the financial markets of many countries. The shock of price volatility in the oil and gas market triggered the transmission of crisis processes across various European countries, including ...
Terekhov A. M. , Ovcharov A. O.
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