product description page

Contagion Phenomena With Applications in Finance (Hardcover) (Serge Darolles & Christian Gourieroux)

Contagion Phenomena With Applications in Finance (Hardcover) (Serge Darolles & Christian Gourieroux) - image 1 of 1

About this item

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
Number of Pages: 166
Genre: Business + Money Management
Sub-Genre: Finance
Format: Hardcover
Publisher: Elsevier Science Ltd
Author: Serge Darolles & Christian Gourieroux
Language: English
Street Date: August 19, 2015
TCIN: 50265298
UPC: 9781785480355
Item Number (DPCI): 248-05-1474
If the item details above aren’t accurate or complete, we want to know about it. Report incorrect product info.

Guest reviews

Prices, promotions, styles and availability may vary by store & online. See our price match guarantee. See how a store is chosen for you.