Correlation and coordination risk

DOI10.1007/S10436-019-00345-0MaRDI QIDQ2000685zbMATH OpenOpenAlexWikidataFDO

Authors Richard Hule, Martin Josef Geiger

Publication date 28 June 2019

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/146136

zbMATH Keywords

creditor coordinationcurrency unionglobal gamesgovernment bond refinancing

Mathematics Subject Classification ID

Applications of game theory (91A80) Macroeconomic theory (monetary models, models of taxation) (91B64) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Coordination cycles
• Sovereign risk contagion in the Eurozone
• Correlated risks vs contagion in stochastic transition models
• Contagion in eurozone sovereign bond markets? The good, the bad and the ugly
• Risk sharing and counter-cyclical variation in market correlations

Cites work

• Contagion of self-fulfilling financial crises due to diversification of investment portfolios
• Global Games and Equilibrium Selection
• scientific article; zbMATH DE number 1220667 (Why is no real title available?)
• Informational channels of financial contagion
• Optimal Statistical Decisions
• Sovereign risk contagion in the Eurozone

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