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Contagion Analysis In The Banking Sector

Author

Listed:
  • Serge Darolles

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

  • Simon Dubecq

    (European Central Bank - European Central Bank)

  • Christian Gouriéroux

    (CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper analyses how an external adverse shock will impact the financial situations of banks and insurance companies and how it will diffuse among these companies. In particular we explain how to disentangle the direct and indirect (contagion) effects of such a shock, how to exhibit the contagion network and how to detect the "superspreaders", i.e. the most important firms involved in the contagion process. This method is applied to a network of 8 large European banks in order to analyze whether the revealed interconnections within these banks differ depending on the underlying measure of banks' financial positions, namely their market capitalization, the price of the CDS contract written on their default and their book value.

Suggested Citation

  • Serge Darolles & Simon Dubecq & Christian Gouriéroux, 2014. "Contagion Analysis In The Banking Sector," Post-Print hal-01632869, HAL.
    • Handle: RePEc:hal:journl:hal-01632869
    Note: View the original document on HAL open archive server: https://hal.science/hal-01632869
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    Cited by:

    1. Gagliardini, Patrick & Gouriéroux, Christian, 2019. "Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects," Journal of Econometrics, Elsevier, vol. 208(2), pages 613-637.

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