Modelling the risk of financial contagion: A Copula-CAViaR approach
Project responsable Richard Luger
David Ardia
Abstract 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.
Keywords Copula, VaR, contagion
Type of project Applied research project
Research area Financial econometrics
Method of financing FSA, Laval University
Status Completed
Start of project 1-2015
End of project 1-2017
Overall budget 16,400 CAD
Contact David Ardia