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-Infected-Recovered) transmission models from epidemic theory. This class of models addresses two important features of contagion modelling, which are a … outcome and temporal data. The latter require the introduction of a novel hierarchical model that we call the Hidden Epidemic … Model (HEM), and which embeds the stochastic financial epidemic as a latent process. The empirical results suggest, among …
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We propose in this paper a simulation framework of pandemic in financial system composed of banks, asset markets and interbank markets. This framework aims at complementing the usual stress-test strategies that evaluate the impact of shocks on individual balance-sheets without taking into...
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resolution framework amidst the pandemic crisis (Christos V. Gortsos)12 Lending activity in the time of coronavirus (Concetta …
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Rapidly growing numbers of empirical papers assessing the financial effects of COVID-19 pandemic triggered an urgent need for a study summarising the existing knowledge of contagion phenomenon. This paper provides a review of conceptual approaches to studying financial contagion at four levels...
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