Showing 1 - 10 of 17
We propose a distress measure for national banking systems that incorporates not only banks' CDS spreads, but also how they interact with the rest of the global financial system via multiple linkage types. The measure is based on a tensor decomposition method that extracts an adjacency matrix...
Persistent link: https://www.econbiz.de/10012851769
We proposes a two-layered tree network model that decomposes financial contagion into a global component, composed of inter-country contagion effects, and a local component, made up of inter-institutional contagion channels. The model is effectively applied to a database containing time series...
Persistent link: https://www.econbiz.de/10012893885
We propose a distress measure for national banking systems that incorporates not only banks' CDS spreads, but also how they interact with the rest of the global financial system via multiple linkage types. The measure is based on a tensor decomposition method that extracts an adjacency matrix...
Persistent link: https://www.econbiz.de/10012866642
We present a statistical model which can be employed to understand the contagion dynamics of the COVID-19. The model is a Poisson autoregression, and can reveal whether contagion has a trend, and where is each country on that trend. Model results are presented from the observed series of China,...
Persistent link: https://www.econbiz.de/10012839877
Financial contagion among countries can arise from different channels, the most important of which are financial markets and bank lending. The paper aims to build an econometric network approach to understand the extent to which contagion spillovers (from one country to another) arise from...
Persistent link: https://www.econbiz.de/10012843113
Persistent link: https://www.econbiz.de/10012668002
Financial technologies (fintechs) are continuously expanding, across different markets and financial services. While financial technologies bring many opportunities, such as reduced costs and extended inclusion, they also bring risks, among which include cyber risks, that are difficult to...
Persistent link: https://www.econbiz.de/10014375287
Persistent link: https://www.econbiz.de/10012210681
We present a statistical model which can be employed to understand the contagion dynamics of the COVID-19, which can heavily impact health, economics and finance. The model is a Poisson autoregression of the daily new observed cases, and can reveal whether contagion has a trend, and where is...
Persistent link: https://www.econbiz.de/10012293246
Persistent link: https://www.econbiz.de/10012321924