Quantifying the importance of different contagion channels as sources of systemic risk
A framework that allows computing contagion effects from both direct exposure contagion and overlapping portfolios is presented. The effects of the latter are broken down into loss correlation, effects from fire sales and mark-to-market accounting. The impact can be quantified for any single contagi...
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| Format: | Journal article |
| Language: | English |
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Springer
2020
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