Modelling the risk of financial contagion: A Copula-CAViaR approach
| Responsable du projet |
Richard Luger
David Ardia |
| Résumé |
The general purpose of this research project is to develop a unified
econometric methodology for modelling, evaluating, and predicting
the risk of spillover and contagion between financial markets. This
risk is more elevated during financial crises when the dramatic
movements in the financial markets of a crisis country, such as
large drops in asset prices and increases in market volatility, can
propagate to other markets around the world. A leading example of
this phenomenon is the 2008 global financial crisis triggered by
the bursting of the U.S. housing bubble. The market value of
financial securities tied to U.S. real estate prices plummeted,
which in turn almost brought down the world's financial system. |
| Mots-clés |
Copula, VaR, contagion |
| Type de projet | Recherche appliquée |
| Domaine de recherche | Financial econometrics |
| Source de financement | FSA, Laval University |
| Etat | Terminé |
| Début de projet | 1-2015 |
| Fin du projet | 1-2017 |
| Budget alloué | 16,400 CAD |
| Contact | David Ardia |