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dc.contributor.authorDarolles, Serge*
dc.contributor.authorDubecq, Simon*
dc.contributor.authorGouriéroux, Christian*
dc.date.accessioned2014-06-30T09:59:01Z
dc.date.available2014-06-30T09:59:01Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13623
dc.language.isoenen
dc.subjectSystemic Risk
dc.subjectCanonical Correlation
dc.subjectCredit Default Swaps
dc.subjectDefault Dependence
dc.subjectContagion
dc.subject.ddc332en
dc.subject.classificationjelG.G2.G21en
dc.subject.classificationjelG.G2.G22en
dc.subject.classificationjelG.G2.G24en
dc.titleContagion Analysis In The Banking Sector
dc.typeCommunication / Conférence
dc.description.abstractenThis paper analyses how an external adverse shock will impact the financial situations of banks and insurance companies and how it will diffuse among these companies. In particular we explain how to disentangle the direct and indirect (contagion) effects of such a shock, how to exhibit the contagion network and how to detect the ”superspreaders”, i.e. the most important firms involved in the contagion process. This method is applied to a network of 8 large European banks in order to analyze whether the revealed interconnections within these banks differ depending on the underlying measure of banks’ financial positions, namely their market capitalization, the price of the CDS contract written on their default and their book value.
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle31st International French Finance Association Conference, AFFI 2014
dc.relation.confdate2014-05
dc.relation.confcityAix-en-Provence
dc.relation.confcountryFRANCE
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2017-11-10T15:30:50Z
hal.person.labIds1032*
hal.person.labIds32974*
hal.person.labIds2579*
hal.identifierhal-01632869*


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