Contagion Phenomena with Applications in Finance

Written By Serge Darolles
Contagion Phenomena with Applications in Finance
  • Publsiher : Elsevier
  • Release : 26 August 2015
  • ISBN : 0081004788
  • Pages : 166 pages
  • Rating : 4/5 from 21 reviews
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Read or download book entitled Contagion Phenomena with Applications in Finance written by Serge Darolles which was release on 26 August 2015, this book published by Elsevier. Available in PDF, EPUB and Kindle Format. Book excerpt: 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 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

Contagion Phenomena with Applications in Finance

Contagion Phenomena with Applications in Finance
  • Author : Serge Darolles,Christian Gourieroux
  • Publisher : Elsevier
  • Release Date : 2015-08-26
  • Total pages : 166
  • ISBN : 0081004788
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Summary : 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 ...

Propagation Phenomena in Real World Networks

Propagation Phenomena in Real World Networks
  • Author : Dariusz Król,Damien Fay,Bogdan Gabryś
  • Publisher : Springer
  • Release Date : 2015-03-19
  • Total pages : 364
  • ISBN : 0081004788
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Summary : “Propagation, which looks at spreading in complex networks, can be seen from many viewpoints; it is undesirable, or desirable, controllable, the mechanisms generating that propagation can be the topic of interest, but in the end all depends on the setting. This book covers leading research on a wide spectrum of ...

Simulation in Computational Finance and Economics Tools and Emerging Applications

Simulation in Computational Finance and Economics  Tools and Emerging Applications
  • Author : Alexandrova-Kabadjova, Biliana
  • Publisher : IGI Global
  • Release Date : 2012-08-31
  • Total pages : 378
  • ISBN : 0081004788
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Summary : Simulation has become a tool difficult to substitute in many scientific areas like manufacturing, medicine, telecommunications, games, etc. Finance is one of such areas where simulation is a commonly used tool; for example, we can find Monte Carlo simulation in many financial applications like market risk analysis, portfolio optimization, credit ...

Handbook of Research Methods and Applications in Empirical Finance

Handbook of Research Methods and Applications in Empirical Finance
  • Author : Adrian R. Bell,Chris Brooks,Marcel Prokopczuk
  • Publisher : Edward Elgar Publishing
  • Release Date : 2013-01-01
  • Total pages : 504
  • ISBN : 0081004788
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Summary : This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. ...

Copulae and Multivariate Probability Distributions in Finance

Copulae and Multivariate Probability Distributions in Finance
  • Author : Alexandra Dias,Mark Salmon,Chris Adcock
  • Publisher : Routledge
  • Release Date : 2013-08-21
  • Total pages : 208
  • ISBN : 0081004788
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Summary : Portfolio theory and much of asset pricing, as well as many empirical applications, depend on the use of multivariate probability distributions to describe asset returns. Traditionally, this has meant the multivariate normal (or Gaussian) distribution. More recently, theoretical and empirical work in financial economics has employed the multivariate Student (and ...

Research on Volatility and Contagion Effect in Stock Market

Research on Volatility and Contagion Effect in Stock Market
  • Author : Dexiang Mei,Wang Chen,Yunyun Sun
  • Publisher : Scientific Research Publishing, Inc. USA
  • Release Date : 2020-12-06
  • Total pages : 131
  • ISBN : 0081004788
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Summary : The volatility has been one of the cores of the financial theory research, in addition to the stock markets is an important part of modern financial markets. Research on volatility and contagion effect in stock market is an important part of the theory of financial markets research. This book in-cludes ...

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Mathematical and Statistical Methods for Actuarial Sciences and Finance
  • Author : Cira Perna,Marilena Sibillo
  • Publisher : Springer Science & Business Media
  • Release Date : 2011-10-06
  • Total pages : 412
  • ISBN : 0081004788
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Summary : The book develops the capabilities arising from the cooperation between mathematicians and statisticians working in insurance and finance fields. It gathers some of the papers presented at the conference MAF2010, held in Ravello (Amalfi coast), and successively, after a reviewing process, worked out to this aim....

Partial Least Squares Structural Equation Modeling

Partial Least Squares Structural Equation Modeling
  • Author : Necmi K. Avkiran,Christian M. Ringle
  • Publisher : Springer
  • Release Date : 2018-02-16
  • Total pages : 239
  • ISBN : 0081004788
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Summary : This book pulls together robust practices in Partial Least Squares Structural Equation Modeling (PLS-SEM) from other disciplines and shows how they can be used in the area of Banking and Finance. In terms of empirical analysis techniques, Banking and Finance is a conservative discipline. As such, this book will raise ...

Research Foundation Review 2015

Research Foundation Review 2015
  • Author : Anonim
  • Publisher : CFA Institute Research Foundation
  • Release Date : 2016-03-15
  • Total pages : 116
  • ISBN : 0081004788
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Summary : The Research Foundation Review 2015 summarizes the offerings from the CFA Institute Research Foundation over the past year—monographs, literature reviews, workshop presentations, and other relevant material....

Financial Data Analytics

Financial Data Analytics
  • Author : Sinem Derindere Köseoğlu
  • Publisher : Springer Nature
  • Release Date : 2022-05-27
  • Total pages : 384
  • ISBN : 0081004788
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Summary : ​This book presents both theory of financial data analytics, as well as comprehensive insights into the application of financial data analytics techniques in real financial world situations. It offers solutions on how to logically analyze the enormous amount of structured and unstructured data generated every moment in the finance sector. ...

Mathematical and Statistical Models and Methods in Reliability

Mathematical and Statistical Models and Methods in Reliability
  • Author : V.V. Rykov,N. Balakrishnan,M.S. Nikulin
  • Publisher : Springer Science & Business Media
  • Release Date : 2010-11-02
  • Total pages : 457
  • ISBN : 0081004788
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Summary : The book is a selection of invited chapters, all of which deal with various aspects of mathematical and statistical models and methods in reliability. Written by renowned experts in the field of reliability, the contributions cover a wide range of applications, reflecting recent developments in areas such as survival analysis, ...

Banking and Finance Issues in Emerging Markets

Banking and Finance Issues in Emerging Markets
  • Author : William A. Barnett,Bruno S. Sergi
  • Publisher : Emerald Group Publishing
  • Release Date : 2018-10-04
  • Total pages : 320
  • ISBN : 0081004788
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Summary : This book features technical portrayals of today’s constantly developing banking issues; including stock market contagion, the impact of internet technology (IT) and financial innovation on stock markets, and a perspective on the loan puzzle in emerging markets....

Stress testing the Banking System

Stress testing the Banking System
  • Author : Mario Quagliariello
  • Publisher : Cambridge University Press
  • Release Date : 2009-10-15
  • Total pages : 212
  • ISBN : 0081004788
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Summary : Stress tests are used in risk management by banks in order to determine how certain crisis scenarios would affect the value of their portfolios, and by public authorities for financial stability purposes. Until the first half of 2007, interest in stress-testing was largely restricted to practitioners. Since then, the global financial ...

Missing Data Methods

Missing Data Methods
  • Author : David M. Drukker
  • Publisher : Emerald Group Publishing
  • Release Date : 2011-11-30
  • Total pages : 290
  • ISBN : 0081004788
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Summary : Part of the "Advances in Econometrics" series, this title contains chapters covering topics such as: Missing-Data Imputation in Nonstationary Panel Data Models; Markov Switching Models in Empirical Finance; Bayesian Analysis of Multivariate Sample Selection Models Using Gaussian Copulas; and, Consistent Estimation and Orthogonality....

Handbook of Safeguarding Global Financial Stability

Handbook of Safeguarding Global Financial Stability
  • Author : Anonim
  • Publisher : Academic Press
  • Release Date : 2012-12-31
  • Total pages : 754
  • ISBN : 0081004788
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Summary : Political and social forces exert pressure on our globalized economy in many forms, from formal and informal policies to financial theories and technical models. Our efforts to shape and direct these forces to preserve financial stability reveal much about the ways we perceive the financial economy. The Handbook of Safeguarding ...