Contagion Phenomena with Applications in Finance

Contagion Phenomena with Applications in Finance

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Key Features
  • Format: Hardback
  • Number of Pages: 166 pages
  • Dimensions: 152 x 229 x 11mm
  • Weight: 788g
  • Publication date: 02 Sep 2015
  • Publisher: ISTE Press Ltd - Elsevier Inc
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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 pracitce 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 * Features the standard practice of defining shocks to models to help you to define impulse response and dynamic consequences* Shows that identification of shocks can be solved in a dynamic framework, even within a linear perspective* Helps you to apply the models to portfolio management, risk monitoring, and the analysis of financial stability

Key Features
  • Format: Hardback
  • Number of Pages: 166 pages
  • Dimensions: 152 x 229 x 11mm
  • Weight: 788g
  • Publication date: 02 Sep 2015
  • Publisher: ISTE Press Ltd - Elsevier Inc
  • Publication City/Country: United Kingdom
  • Language: English
  • Illustrations note: black and white illustrations
  • ISBN10: 1785480359
  • ISBN13: 9781785480355
Specifications of Contagion Phenomena with Applications in Finance
SKU
JU030BKAJ7K5NAFAMZ
Model
9781785480355
Author
Christian Gourieroux, Serge Darolles
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