This paper proposes new measures of contagion e¤ects during the recent Eurozone sovereign debt crisis. The new measures, called as the contagion value-at-risk and the contagion expected shortfall, are based on popular risk exposure measures and therefore can provide useful information from the practical perspective of actual investors. For that purpose, this paper also sets up a new model which can disentangle contagion from interdependence. We …nd that contagion e¤ects dynamically ‡uctuate, sometimes greatly deviating from the mean level. In addition, the economic values of contagion e¤ects prove to be quite large even for the stable countries.
Keywords: Sovereign Risk, Contagion, Value-at-risk, Expected Shortfall.
학회소식
[2013년 제 1차] Measuring Sovereign Risk Contagion in the Eurozone
작성자 : 관리자
조회수 : 1094
게시일 :
2013-03-04
