THE METHODOLOGY FOR MEASURING FINANCIAL CONTAGION: THE CASE STUDY OF BANK DEFAULT RISK SIMULATION

THE METHODOLOGY FOR MEASURING FINANCIAL CONTAGION: THE CASE STUDY OF BANK DEFAULT RISK SIMULATION

The paper focuses on the methods used for measuring financial contagion through simulation of the bank default risk viewed as a trigger event. Systemic risk and financial contagion as well as the mechanism which enables system risk implementation are considered taking into account such aspects of fi...

Full description

Bibliographic Details
Main Author: V. E. Rasskazov
Format: Article
Language:Russian
Published: Financial University under The Government of Russian Federation 2016-01-01
Series:Финансы: теория и практика
Subjects:
CDS model
Financial contagion
regression analysis
correlation analysis
Online Access:http://financetp.fa.ru/jour/article/view/410

Internet

http://financetp.fa.ru/jour/article/view/410

Similar Items