This paper studies the problem of disentangling risk correlation and contagion in a set of individual binary processes … introducing a dynamic frailty, whereas the contagion passes through the effect of the lagged number of individuals in the bad risk … populations (portfolios). The difficulty to identify risk correlation and contagion in finite samples is illustrated by means of …

result either from common exogenous shocks (shared frailty), or from contagion phenomena, which occur when an endogenous … frailty and contagion phenomena, and test for the presence of such dependence effects, according to the age and management … style of the fund. We demonstrate the empirical relevance of our approach by measuring the magnitudes of contagion and …

. It is necessary to analyze the contagion of losses among banks, especially the equilibrium of joint defaults and recovery … are modified by adding a premium to capture the contagion effects. …

incorporate business cycles or crises, to introduce contagion, to reproduce zero lower bound spells, or to evaluate the impact of …

There is a growing literature on the possibility to identify correlation and contagion in qualitative risk analysis … dependence are captured by introducing a dynamic frailty, whereas the contagion passes through the effect of the lagged number of … difficulty to identify in finite sample risk correlation and contagion is illustrated by means of Monte-Carlo simulations …

consequences of exogenous shocks on the banking system and we measure contagion phenomena. This approach is illustrated by an …

. It is necessary to analyze the contagion of losses among banks, especially the equilibrium of joint defaults and recovery … are modified by adding a premium to capture the contagion effects. …