Boyson, Nicole M. (contributor); … - 2008
Duffie, Eckner, Horel, and Saita (2006) call
frailty. With contagion, therefore, risk management models that rely on … GARCH process and using the residuals in the analysis has been proposed in the risk
management literature in applications … and Mexican currency
crises and the failure of Long Term Capital Management. We use a lower 10% cutoff of the overall …