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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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
London, UK : Kidlington, Oxford, UK :
ISTE, Ltd. ; Elsevier,
2015.
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| Colección: | Quantitative finance set.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Darolles, Serge, |e author. | |
| 245 | 1 | 0 | |a Contagion phenomena with applications in finance / |c Serge Darolles, Christian Gourieroux. |
| 264 | 1 | |a London, UK : |b ISTE, Ltd. ; |a Kidlington, Oxford, UK : |b Elsevier, |c 2015. | |
| 264 | 4 | |c �2015 | |
| 300 | |a 1 online resource | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a text file | ||
| 490 | 1 | |a Quantitative finance set | |
| 504 | |a Includes bibliographical references and index. | ||
| 588 | 0 | |a Title details screen (ScienceDirect, viewed September 9, 2015). | |
| 520 | |a 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. | ||
| 505 | 0 | |a Front Cover; Contagion Phenomena with Applications in Finance; Copyright; Contents; Introduction; Chapter 1: Contagion and Causality in Static Models; 1.1. Linear Dependence in a Static Model; 1.2. Nonlinear Dependence in a Static Model; 1.3. Model with Exogenous Switching Regimes; 1.4. Chapter 1 Highlights; 1.5. Appendices; Chapter 2: Contagion in Structural VARMA Models; 2.1. Shocks in a Dynamic Model; 2.2. A Vector Autoregressive Moving Average (VARMA) Model with Independent Errors; 2.3. Non-Fundamentalness; 2.4. Chapter 2 Highlights; 2.5. Appendices. | |
| 505 | 8 | |a Chapter 3: Common Frailty Versus Contagion in Linear Dynamic Models3.1. Linear Dynamic Model with Common Factor and Contagion; 3.2. Observable Versus Latent Factors; 3.3. Shocks, Impulse Response Functions and Stress; 3.4. Constrained Models and Misspecification; 3.5. The Literature; 3.6. Chapter 3 Highlights; 3.7. Appendices; Chapter 4: Applications of Linear Dynamic Models; 4.1. Portfolio Management; 4.2. Contagion Among Banks; 4.3. Chapter 4 Highlights; 4.4. Appendices; Chapter 5: Common Frailty and Contagion in Nonlinear Dynamic Models; 5.1. Specifications. | |
| 505 | 8 | |a 5.2. Stochastic Volatility Model5.3. Application to Portfolio Management; 5.4. Chapter 5 Highlights; 5.5. Appendices; Chapter 6: An Application of Nonlinear Dynamic Models: The Hedge Fund Survival; 6.1. HF Liquidation Data; 6.2. Dynamic Poisson Model; 6.3. Results; 6.4. Stress-Tests; 6.5. Chapter 6 Highlights; 6.6. Appendices; Bibliography; Index; Back Cover. | |
| 650 | 0 | |a Contagious distributions. | |
| 650 | 0 | |a Finance |x Mathematical models. | |
| 650 | 6 | |a Finances |x Mod�eles math�ematiques. |0 (CaQQLa)201-0047861 | |
| 650 | 7 | |a MATHEMATICS |x Applied. |2 bisacsh | |
| 650 | 7 | |a MATHEMATICS |x Probability & Statistics |x General. |2 bisacsh | |
| 650 | 7 | |a Contagious distributions |2 fast |0 (OCoLC)fst00876515 | |
| 650 | 7 | |a Finance |x Mathematical models |2 fast |0 (OCoLC)fst00924398 | |
| 700 | 1 | |a Gourieroux, Christian, |d 1949- |e author. | |
| 776 | 0 | 8 | |i Print version: |a Darolles, Serge. |t Contagion phenomena with applications in finance. |d London, UK : ISTE, Ltd. ; Kidlington, Oxford, UK : Elsevier, 2015 |w (DLC) 2015946462 |
| 830 | 0 | |a Quantitative finance set. | |
| 856 | 4 | 0 | |u https://sciencedirect.uam.elogim.com/science/book/9781785480355 |z Texto completo |