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The possibility of contagion in currency crises across countries is highly topical, to say the least. Though the phenomenon is widely discussed, and is supported by solid empirical evidence1, construc...
Global Stability of Financial Networks Against Contagion: Measure, Evaluation and Implications
financial networks stability financial contagion network models.
2012/9/14
Involvements of major financial institutions in the recent financial crisis have generated renewed interests in fragilities of global financial networks among economists and regulatory authorities. In...
Credit Contagion from Counterparty Risk
Standard credit risk models observed clustering of default credit contagion direct counterparty effects
2011/8/22
Standard credit risk models cannot explain the observed clustering of default, sometimes described as “credit contagion.” This paper provides the first empirical analysis of credit contagion via direc...
Robustness and Contagion in the International Financial Network
Robustness Contagion International Financial Network
2011/7/25
Abstract: The recent financial crisis of 2008 and the 2011 indebtedness of Greece highlight the importance of understanding the structure of the global financial network. In this paper we set out to a...
An extension of Davis and Lo's contagion model
credit risk contagion model dependent defaults default distribution exchangeability
2010/10/29
firms which may default directly or may be infected by other defaulting firms (a domino effect being also possible). The spontaneous default without external influence and the infections are described...
We study multiple defaults where the global market information is modelled as progressive enlargement of filtrations. We shall provide a general pricing formula by establishing a relationship between ...
The “Tuberculous Cattle Trust”: Disease Contagion in an Era of Regulatory Uncertainty
Tuberculous Cattle Trust Disease Contagion Regulatory Uncertainty
2014/6/26
By 1900 scientific breakthroughs revealed that bovine tuberculosiswas a serious and growing threat to animal and human health. Early private and state initiatives in the U.S. to address the problem we...