2 papers
q-fin.RM2024
Navigating Market Turbulence: Insights from Causal Network Contagion Value at Risk
Katerina Rigana, Ernst C. Wit, Samantha Cook
Accurately defining, measuring and mitigating risk is a cornerstone of financial risk management, especially in the presence of financial contagion. Traditional correlation-based r…
q-fin.ST2021
Using Network-based Causal Inference to Detect the Sources of Contagion in the Currency Market
Katerina Rigana, Ernst-Jan Camiel Wit, Samantha Cook
Contagion is an extremely important topic in finance. Contagion is at the core of most major financial crises, in particular the 2008 financial crisis. Although various approaches…