Search results for "Contagion"
showing 10 items of 56 documents
Financial contagion through space-time point processes
2020
AbstractWe propose to study the dynamics of financial contagion by means of a class of point process models employed in the modeling of seismic contagion. The proposal extends network models, recently introduced to model financial contagion, in a space-time point process perspective. The extension helps to improve the assessment of credit risk of an institution, taking into account contagion spillover effects.
Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods
2021
AbstractWe analyse systemic risk in the core global banking system using a new network-based spectral eigen-pair method, which treats network failure as a dynamical system stability problem. This is compared with market price-based Systemic Risk Indexes (SRIs), viz. Marginal Expected Shortfall (MES), Delta Conditional Value-at-Risk (Delta-CoVaR), and Conditional Capital Shortfall Measure of Systemic Risk (SRISK) in a cross-border setting. Unlike paradoxical market price based risk measures, which underestimate risk during periods of asset price booms, the eigen-pair method based on bilateral balance sheet data gives early-warning of instability in terms of the tipping point that is analogou…
COVID-19 Infection Process in Italy and Spain: Are the Data Talking?
2020
Background: COVID-19 has spread successfully worldwide in a matter of weeks. After the example of China, all the affected countries are taking hard-confinement measures to control the infection and to gain some time to diminish the big amount of cases that arrive to hospital. Although the measures in China reduced the percentages of new cases, this is not seen in other countries that have taken similar measures, such as Italy and Spain. Now we are in the middle of a battle trying to prevent the healthcare system from collapsing while it effectively responds to the needs of patients who are infected and require hospitalization. Methods: Using China as a mirror of what could happen in our cou…
Emotion recognition, emotional awareness and cognitive bias in individuals with bulimia nervosa
2008
Difficulties recognizing emotion have been reported for eating disordered individuals in relation to perception of emotions in others and emotional self-awareness. It remains unclear whether this is a perceptual or cognitive-affective problem. Clarification is sought and the question of a cognitive bias is addressed when interpreting facially expressed emotions. Twenty participants with bulimia nervosa (BN) and 20 normal controls (NC) were assessed for ability to recognize emotional and neutral expressions. Emotional self-awareness was also assessed. Significant differences were found for emotional self-awareness. For emotional faces, only a poorer recognition of the emotion, surprise, for …
Interbrain emotional connection during music performances is driven by physical proximity and individual traits.
2021
How musical emotions and the pleasure derived from music, regardless of the musical valence, can be shared between individuals is a fascinating question, and investigating it can shed light on the function of musical reward. We carried out our investigations in a natural setting during an international competition for orchestra conductors. Participants (n = 15) used a dedicated smartphone app to report their subjective emotional experiences in real time while we recorded their cerebral activity using electroencephalography and their electrodermal activity. The overall behavioral real-time behavioral ratings suggest a possible social influence on the reported and felt pleasure. The physicall…
Contagion and Bank Runs in a Multi-Agent Financial System
2012
In this work we explore contagion from one institution to another that can stem from the existence of a network of financial contracts. In fact, in modern financial systems, an intricate web of claims and obligations links the balance sheets of a wide variety of intermediaries (banks, for instance) into a network structure of interdependencies that have created an environment for feedback elements to generate amplified responses to shocks to the financial system. Small shocks, which initially affect only a few institutions, can indeed spread by contagion to the rest of the financial sector and cause a crisis in the connected intermediaries. Whether the financial crisis does spread depends c…
Choosing Optimal Seed Nodes in Competitive Contagion.
2019
International audience; In recent years there has been a growing interest in simulating competitive markets to find out the efficient ways to advertise a product or spread an ideology. Along this line, we consider a binary competitive contagion process where two infections, A and B, interact with each other and diffuse simultaneously in a network. We investigate which is the best centrality measure to find out the seed nodes a company should adopt in the presence of rivals so that it can maximize its influence. These nodes can be used as the initial spreaders or advertisers by firms when two firms compete with each other. Each node is assigned a price tag to become an initial advertiser whi…
Probabilistic European Country Risk Score Forecasting Using a Diffusion Model
2013
Over the last few years, global crisis has shaken confidence in most European economies. As a consequence, a lack of confidence has spread amongst European countries leading to Europe’s financial instability. Therefore, forecasting the next future of economic situation involves high levels of uncertainty. In this respect, it would be interesting to use tools which allow to predict the trends and evolution of each country’s confidence rating. The Country Risk Score (CRS) represents a good indicator to measure the current situation of a country regarding measures of economic, political and financial Risk in order to determine country Risk ratings. CRS is underscored by Euromoney Agency and is…
A systematic review of sovereign connectedness on emerging economies.
2019
This article systematically reviews the academic literature on emerging market contagion in order to summarize what we have learnt about the transmission channels existing in these countries. Given the large body of academic research focused on this topic, we especially direct our attention to the strand of the literature that defines and empirically analyses this topic as the significant increase in the cross-market correlations between asset returns during crisis periods or when a shock occurs. The survey covers the findings on financial contagion in the stock, bond, exchange and credit default swap markets during a large period that covers several crises that have characterized the relat…
Bank fragility and contagion: Evidence from the bank CDS market
2016
Understanding how contagion works among financial institutions is a top priority for regulators and policy makers who aim to foster financial stability and to prevent financial crises. Using bank credit default swap (CDS) data, we provide a framework for the evaluation of contagion among banks in different countries and regions during a period of prolonged financial distress. We measure contagion in terms of return spillovers, following a Generalized VAR (GVAR) approach. In addition, we propose an innovative framework to distinguish between two types of contagion: systematic (linked to global factors), and idiosyncratic (linked to bank specific factors). We find evidence of both types of co…