It takes the average reader 2 hours and 49 minutes to read Contagion Phenomena with Applications in Finance by Serge Darolles
Assuming a reading speed of 250 words per minute. Learn more
Much research into financial contagion and systematic risks has been motivated by the finding that cross-market correlations (resp. coexceedances) between asset returns increase significantly during crisis periods. Is this increase due to an exogenous shock common to all markets (interdependence) or due to certain types of transmission of shocks between markets (contagion)? Darolles and Gourieroux explain that an attempt to convey contagion and causality in a static framework can be flawed due to identification problems; they provide a more precise definition of the notion of shock to strengthen the solution within a dynamic framework. This book covers the standard practice for defining shocks in SVAR models, impulse response functions, identitification issues, static and dynamic models, leading to the challenges of measurement of systematic risk and contagion, with interpretations of hedge fund survival and market liquidity risks Features the standard practice of defining shocks to models to help you to define impulse response and dynamic consequences Shows that identification of shocks can be solved in a dynamic framework, even within a linear perspective Helps you to apply the models to portfolio management, risk monitoring, and the analysis of financial stability
Contagion Phenomena with Applications in Finance by Serge Darolles is 166 pages long, and a total of 42,496 words.
This makes it 56% the length of the average book. It also has 52% more words than the average book.
The average oral reading speed is 183 words per minute. This means it takes 3 hours and 52 minutes to read Contagion Phenomena with Applications in Finance aloud.
Contagion Phenomena with Applications in Finance is suitable for students ages 10 and up.
Note that there may be other factors that effect this rating besides length that are not factored in on this page. This may include things like complex language or sensitive topics not suitable for students of certain ages.
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