Contagion Phenomena with Applications in Finance

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  • Author : Serge Darolles
  • Publisher : Elsevier
  • Pages : 166 pages
  • ISBN : 0081004788
  • Rating : /5 from reviews
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Download or Read online Contagion Phenomena with Applications in Finance full in PDF, ePub and kindle. this book written by Serge Darolles and published by Elsevier which was released on 26 August 2015 with total page 166 pages. We cannot guarantee that Contagion Phenomena with Applications in Finance book is available in the library, click Get Book button and read full online book in your kindle, tablet, IPAD, PC or mobile whenever and wherever You Like. 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 : 26 August 2015
GET THIS BOOK Contagion Phenomena with Applications in Finance

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

Recent Advances and Applications in Alternative Investments

Recent Advances and Applications in Alternative Investments
  • Author : Zopounidis, Constantin,Kenourgios, Dimitris,Dotsis, George
  • Publisher : IGI Global
  • Release : 07 February 2020
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In recent years, there has been a swell of investment opportunities in contemporary asset classes that have gained considerable attention, including cryptocurrencies, hedge funds, and private equity. These alternative investments provide the opportunity to enhance the diversification of financial portfolios and harvest risk premiums that traditional assets like stocks and bonds fail to provide. The emergence of these new properties has created the need to further understand the mechanics, risks, and returns of alternative investments. Recent Advances and Applications in

Propagation Phenomena in Real World Networks

Propagation Phenomena in Real World Networks
  • Author : Dariusz Król,Damien Fay,Bogdan Gabryś
  • Publisher : Springer
  • Release : 19 March 2015
GET THIS BOOK Propagation Phenomena in Real World Networks

“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 propagation phenomenon and the techniques currently used in its modelling, prediction, analysis and control. Fourteen papers range over topics including epidemic models, models for trust inference, coverage strategies for networks,

Financial Contagion

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  • Author : Robert W. Kolb
  • Publisher : John Wiley & Sons
  • Release : 09 February 2011
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"Financial Contagion: The Viral Threat to the Wealth of Nations covers a lot of territory. It is, of course, terribly important to analyze case histories to discover potential triggers, mechanisms of transmission, and viable ways to contain the damage of financial contagion. The problem is, as these articles amply demonstrate, that there’s always a new virus or a mutation of a former one lurking in some corner of the financial world. We don’t know what it is or

A Model of Contagious Currency Crises with Application to Argentina

A Model of Contagious Currency Crises with Application to Argentina
  • Author : Ms.Nada Choueiri
  • Publisher : International Monetary Fund
  • Release : 01 March 1999
GET THIS BOOK A Model of Contagious Currency Crises with Application to Argentina

This paper proposes a model of contagious currency crises: crises transmit across countries by raising the risk premium on government bonds. Three types of equilibria can occur: a “no-collapse” equilibrium (crises never transmit from abroad); a “collapse” equilibrium (crises are inevitably contagious); or a “fundamentals” equilibrium (crises are contagious if domestic fundamentals are weak). A calibration exercise finds that the 1995 turmoil in Argentina coexisted with a combination of risk-averse investors and weak credibility in the currency board arrangement. This turmoil

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  • Author : Anonim
  • Publisher : ScholarlyEditions
  • Release : 21 June 2013
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Economics—Advances in Research and Application: 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Tariffs. The editors have built Economics—Advances in Research and Application: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Tariffs in this book to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Economics—Advances in Research and Application: 2013 Edition has been produced

Simulation in Computational Finance and Economics Tools and Emerging Applications

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  • Author : Alexandrova-Kabadjova, Biliana
  • Publisher : IGI Global
  • Release : 31 August 2012
GET THIS BOOK Simulation in Computational Finance and Economics Tools and Emerging Applications

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 risk related applications, etc. Simulation in Computational Finance and Economics: Tools and Emerging Applications presents a thorough collection of works, covering several rich and highly productive areas of research including

Contagion in Financial Markets

Contagion in Financial Markets
  • Author : Friedrich L. Sell
  • Publisher : Edward Elgar Publishing
  • Release : 01 January 2001
GET THIS BOOK Contagion in Financial Markets

This book aims to integrate the notions of contagion in epidemiology and contagion in financial market crises to discover why emerging markets are so susceptible to financial crises. The author first provides a brief introduction of the contagious spill-over of recent financial market crises and models the pattern of these crises. He finds that the contagion between crises in emerging markets, such as that of the crises in Russia and Brazil in 1998-1999, is explicable, despite the fact that at

The Oxford Handbook of Banking

The Oxford Handbook of Banking
  • Author : Allen N. Berger,Philip Molyneux,John O. S. Wilson
  • Publisher : Oxford University Press
  • Release : 31 October 2019
GET THIS BOOK The Oxford Handbook of Banking

The Oxford Handbook of Banking, Third Edition provides an overview and analysis of developments and research in this rapidly evolving field. Aimed at graduate students of economics, banking, and finance; academics; practitioners; regulators; and policy makers, it strikes a balance between abstract theory, empirical analysis, and practitioner and policy-related material. Split into five distinct parts The Oxford Handbook of Banking is a one-stop source of relevant research in banking. It examines the theory of banking, bank operations and performance, regulatory

The Oxford Handbook of Computational Economics and Finance

The Oxford Handbook of Computational Economics and Finance
  • Author : Shu-Heng Chen,Mak Kaboudan,Ye-Rong Du
  • Publisher : Oxford University Press
  • Release : 12 January 2018
GET THIS BOOK The Oxford Handbook of Computational Economics and Finance

The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing,

Emerging Markets and Sovereign Risk

Emerging Markets and Sovereign Risk
  • Author : N. Finch
  • Publisher : Springer
  • Release : 09 December 2014
GET THIS BOOK Emerging Markets and Sovereign Risk

Emerging Markets and Sovereign Risk provides case studies, commentary and analysis on the financial risk management and measurement in the context of frontier and developing counties from international experts covering three key areas of emerging market investments, the rating sovereign risk and managing sovereign risk.

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 : 01 January 2013
GET THIS BOOK Handbook of Research Methods and Applications in Empirical Finance

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. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that

Transmission of Financial Crises and Contagion

Transmission of Financial Crises and Contagion
  • Author : Mardi Dungey,Renee A. Fry,Brenda Gonzalez-Hermosillo,Vance L. Martin
  • Publisher : Oxford University Press
  • Release : 07 January 2011
GET THIS BOOK Transmission of Financial Crises and Contagion

Financial crises often transmit across geographical borders and different asset classes. Modeling these interactions is empirically challenging, and many of the proposed methods give different results when applied to the same data sets. In this book the authors set out their work on a general framework for modeling the transmission of financial crises using latent factor models. They show how their framework encompasses a number of other empirical contagion models and why the results between the models differ. The book

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Early Warning Systems for Financial Crises
  • Author : Asian Development Bank
  • Publisher : Springer
  • Release : 15 February 2005
GET THIS BOOK Early Warning Systems for Financial Crises

Since the 1997 Asian financial crisis, East Asia has implemented a number of initiatives designed to strengthen monetary and financial cooperation, bolstering the region's resilience to economic and financial vulnerabilities. One such initiative is the ASEAN+3 Information Exchange and Policy Dialogue, which includes development of early warning systems (EWS) for financial crises. This book examines efforts to develop EWS models. Specifically, the book analyzes the current understanding of the causes of currency and banking crises, describes recent progress in developing and

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  • Author : Tsan-Ming Choi,Jianjun Gao,James H. Lambert,Chi-Kong Ng,Jun Wang
  • Publisher : Springer
  • Release : 04 May 2017
GET THIS BOOK Optimization and Control for Systems in the Big Data Era

This book focuses on optimal control and systems engineering in the big data era. It examines the scientific innovations in optimization, control and resilience management that can be applied to further success. In both business operations and engineering applications, there are huge amounts of data that can overwhelm computing resources of large-scale systems. This “big data” provides new opportunities to improve decision making and addresses risk for individuals as well in organizations. While utilizing data smartly can enhance decision making,