Addo, Peter Martey; Peretti, Philippe De; Gatfaoui, Hayette - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014
We provide a new approach to understanding systemic risk by analysing complex linkages in finance and insurance sectors. The analysis is achieved by using a recently proposed method for quantifying causal coupling strength, which identifies the existence of causal dependencies between two...