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Partial information about contagion risk, self-exciting processes and portfolio optimization
Branger, Nicole; Kraft, Holger; Meinerding, Christoph - 2013 - This version: April 18, 2013
This paper compares two classes of models that allow for additional channels of correlation between asset returns: regime switching models with jumps and models with contagious jumps. Both classes of models involve a hidden Markov chain that captures good and bad economic states. The distinctive...
Persistent link: https://www.econbiz.de/10010226651
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Partial information about contagion risk, self-exciting processes and portfolio optimization
Branger, Nicole; Kraft, Holger; Meinerding, Christoph - In: Journal of Economic Dynamics and Control 39 (2014) C, pp. 18-36
This paper compares two classes of models that allow for additional channels of correlation between asset returns: regime switching models with jumps and models with contagious jumps. Both classes of models involve a hidden Markov chain that captures good and bad economic states. The distinctive...
Persistent link: https://www.econbiz.de/10010744172
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Overlapping portfolios, contagion, and financial stability
Caccioli, Fabio; Farmer, J. Doyne; Foti, Nick; … - In: Journal of economic dynamics & control 51 (2015), pp. 50-63
Persistent link: https://www.econbiz.de/10011474265
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Simulating fire-sales in a banking and shadow banking system
Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - 2017
contagion of shocks to asset prices within and between the two financial sectors, including the effects of fire sales and their …. Second, higher bank capital requirements may aggravate contagion since they may incentivise banks to hold similar assets, and … managers absorb small liquidity shocks but they exacerbate contagion when liquid buffers are fully utilised. …
Persistent link: https://www.econbiz.de/10011976961
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Portfolio choice in markets with contagion
Aït-Sahalia, Yacine; Hurd, T. R. - In: Journal of financial econometrics : official journal of … 14 (2016) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10011588523
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Contagion effect on bond portfolio risk measures in a hybrid credit risk model
Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy - In: Finance research letters 11 (2014) 2, pp. 131-139
Persistent link: https://www.econbiz.de/10010441202
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Simulating fire sales in a system of banks and asset managers
Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - 2020
We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to … exacerbate contagion when their voluntary liquid buffers are fully utilised. Fourth, a system with larger and more interconnected … agents is more prone to contagion risk stemming from funding shocks. …
Persistent link: https://www.econbiz.de/10012163949
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Portfolio diversification and systemic risk in interbank networks
Tasca, Paolo; Battiston, Stefano; Deghi, Andrea - In: Journal of economic dynamics & control 82 (2017), pp. 96-124
Persistent link: https://www.econbiz.de/10011915509
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Asset commonality, debt maturity and systemic risk
Allen, Franklin; Babus, Ana; Carletti, Elena - In: Journal of financial economics 104 (2012) 3, pp. 519-534
Persistent link: https://www.econbiz.de/10009622468
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Asset allocation in markets with contagion : the interplay between volatilities, jump intensities, and correlations
Konermann, Patrick; Meinerding, Christoph; Sedova, Olga - In: Review of financial economics : RFE 22 (2013) 1, pp. 36-46
Persistent link: https://www.econbiz.de/10009717856