Results 81 to 90 of about 1,839,651 (256)
Derivatives and Credit Contagion in Interconnected Networks [PDF]
, 2012 The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly triggering each ...
A.G. Haldane +32 more
core +4 more sources
International Journal of Economics and Financial Issues, 2013 This research examines the time-varying conditional correlations to the daily stock index returns. We use a dynamic conditional correlation (DCC) multivariate GARCH model in order to capture potential contagion effects between US and major developed and
Zouheir Mighri, Faysal Mansouri
doaj +4 more sources
Financial contagion in the US, European and Chinese stock markets during global shocks
Journal of New EconomyUnder globalisation, integration, and financialisation of national economies, the financial markets’ interdependence tends to swell, which increases the probability of financial disturbances spreading between countries, especially during global shocks ...
Marina Yu. Malkina
doaj +1 more source
Financial contagion in interbank networks [PDF]
, 2021 O στόχος αυτης της διατριβής είναι να αναπτύξει μια καλύτερη κατανόηση του συστημικού κινδύνου στις διατραπεζικές αγορές και να ερευνήσει πως η πολυπλοκότητα και η κεφαλαιακή δομή ενός διατραπεζικού συστήματος επηρεάζει τον κίνδυνο μετάδοσης μια κρίσης από ένα χρηματοπιστωτικό οργανισμό σε εναν άλλο (interbank contagion).
openaire +3 more sources
Lecturas de Economía, 2012 Contagio financiero: una metodología para su evaluación mediante coeficientes de dependencia asintótica Resumen: Se presenta una metodología reciente para la detección del contagio financiero basada en coeficientes de dependencia asintótica.
Jorge Uribe
doaj +1 more source
Endogenous contagion – a panel data analysis [PDF]
, 2006 This paper proposes a panel data model to analyze contagion in a multivariate framework. The model distinguishes between vulnerability and contagion, and provides a time series of contagion.
Baur, Dirk, Fry, Renee
core
Are the global real estate markets contagious?
International Journal of Strategic Property Management, 2012 The aim of this paper is to investigate the contagion across real estate markets of four countries: Hong Kong, China, U.S. and U.K., during the financial tsunami in 2008. We use the Forbes-Rigobon test, the coskewness test and the cokurtosis test.
Eddie C. M. Hui, Ka Kwan Kevin Chan
doaj +1 more source
Tree Networks to Assess Financial Contagion
Economic Modelling, 2019 We proposes a two-layered tree network model that decomposes financial contagion into a global component, composed of inter-country contagion effects, and a local component, made up of inter-institutional contagion channels.
D. Ahelegbey, Paolo Giudici
semanticscholar +1 more source
Contagion in Financial Networks: A Threat Index [PDF]
SSRN Electronic Journal, 2015 This paper proposes to measure the spillover effects that cross liabilities generate on the magnitude of default in a system of financially linked institutions. Based on a simple model and an explicit criterion—the aggregate debt repayments—the measure is defined for each institution, affected by its characteristics and links to others. These measures—
openaire +8 more sources
Financial contagion in a core-periphery interbank network
European Journal of Finance, 2019 This paper studies financial contagion in a core-periphery interbank network where core banks are large in balance sheet size while periphery banks are smaller and link only with the core banks.
Pengfei Sui, Sailesh Tanna, Dandan Zhou
semanticscholar +1 more source