Contagion Phenomena with Applications in Finance

Erscheinungsjahr 2015
ISBN: 978-1-78548-035-5
Verlag: ISTE Press

Buch, Englisch, 166 Seiten, Format (B × H): 152 mm x 229 mm, Gewicht: 400 g

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

Zielgruppe

Upper-division undergraduates, graduate students, and researchers working on market linkages, pricing and risk management in financial markets and industries.

Autoren/Hrsg.

Darolles, Serge

Gourieroux, Christian

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Wirtschaftswissenschaften Volkswirtschaftslehre Finanzkrisen, Wirtschaftskrisen
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzkrisen

Inhaltsverzeichnis

1. Contagion and Causality in Static Models 2. Contagion in Structural VARMA Models 3. Common Frailty versus Contagion in Linear Dynamic Models 4. Applications of Linear Dynamic Models 5. Common Frailty and Contagion in Nonlinear Dynamic Models 6. An Application of Nonlinear Dynamic Models: The Hedge Fund Survival

Über Autor(innen)

Gourieroux, Christian
Christian Gourieroux is Professor at the University of Toronto in Canada, and Chair of the Finance Laboratory at the Center for Research in Economics and Statistics (CREST) in Paris.

Darolles, Serge
Serge Darolles is Professor of Finance at Paris-Dauphine University in France, and member of the Quantitative Management Initiative (QMI) scientific committee. His research interests include financial econometrics, liquidity and hedge fund analysis. He has written numerous articles, which have been published in academic journals.