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Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference

Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - Institut für Weltwirtschaft (IfW) - 2013

Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...

Persistent link: https://www.econbiz.de/10010956052

Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach

Mili, Mehdi - Institut für Weltwirtschaft (IfW) - 2012

The purpose of this study is to develop an efficient strategy for managing fixed-income portfolios in crisis periods. We use the volatility ratio model of Briere and Szafarz (2008) and the Expected Tail Loss (ETL) approach of Litzenberger and Modest (2008). Our methodology is applied to U.S. and...

Persistent link: https://www.econbiz.de/10010956076

Contagion Between European and US Banks: Evidence from Equity Prices

Fricke, Daniel - Institut für Weltwirtschaft (IfW) - 2010

This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US … finding market-based indicators in order to analyze the effects of crises and to quantify the risk of contagion. The Distance … coexceedances allows to interpret significant coefficients of foreign lagged coexceedances as contagion. The main finding is that …

Persistent link: https://www.econbiz.de/10008764567

Stock returns and implied volatility: A new VAR approach

Lee, Bong Soo; Ryu, Doojin - Institut für Weltwirtschaft (IfW) - 2012

This study re-examines the return-volatility relationship and dynamics under a new VAR framework. By analyzing two model-free implied volatility indices - VIX (the U.S.) and VKOSPI (Korea) - and their corresponding stock market indices, we found an asymmetric volatility phenomenon in both...

Persistent link: https://www.econbiz.de/10010956047

The causal linkages between sovereign CDS prices for the BRICS and major European economies

Stolbov, Mikhail - Institut für Weltwirtschaft (IfW) - 2014

important EU economies (Germany, France, the UK, Italy, Spain) during the European debt crisis. The cross-correlation function …

Persistent link: https://www.econbiz.de/10010956154

GARCH Modeling of Robust Market Returns

Sáez, Lucía Cuadro; Moreno, Manuel - Institut für Weltwirtschaft (IfW) - 2007

Daily financial market returns (as log difference in closing prices) may be quite sensitive to operations with low trading volumes and big changes in prices frequently traded at market closing times. This paper proposes a more robust estimation of market, returns by providing a new indicator...

Persistent link: https://www.econbiz.de/10005818774

Contagion Risk in the Interbank Market: A Probabilistic Approach to cope with Incomplete Structural Information

Montagna, Mattia; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2014

for the contagion after default of one unit (i.e. number of expected subsequent defaults, or their probabilities). For …

Persistent link: https://www.econbiz.de/10010905564

Hubs and resilience: towards more realistic models of the interbank markets

Montagna, Mattia; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2013

This paper uses a toy financial system to study systemic risk in scale-free interbank networks. Networks are produced according to a fitness algorithm, combined with a representation of the balance sheets of the banks. Our generating processes for interbank networks are designed in a way to...

Persistent link: https://www.econbiz.de/10010905570

Finding communities in credit networks

Bargigli, Leonardo; Gallegati, Mauro - Institut für Weltwirtschaft (IfW) - 2012

likelihood of intracommunity default contagion is expected to be high. …

Persistent link: https://www.econbiz.de/10010956113

Contagion effect of financial crisis on OECD stock markets

Kazi, Irfan Akbar; Guesmi, Khaled; Kaabia, Olfa - Institut für Weltwirtschaft (IfW) - 2011

In this paper we investigate the contagion effect between stock markets of U.S and sixteen OECD countries due to Global … Financial Crisis (2007-2009). We apply Dynamic Conditional Correlation GARCH model Engle (2002) to daily stock price data (2002 …-2009). In order to recognize the contagion effect, we test whether the mean of the DCC coefficients in crisis period differs …

Persistent link: https://www.econbiz.de/10009149314