Measuring systemic risk: The Indirect Contagion Index

Abstract

We introduce a novel micro-founded measure of price-mediated contagion: the Indirect Contagion Index (ICI). It is defined as the Perron-eigenvector of the matrix of liquidity-weighted portfolio overlaps and allows to quantify... [ view full abstract ]

Authors

  1. Eric Schaanning (ETH Zurich)
  2. Rama Cont (Imperial College and CFM)

Topic Areas

Capital Requirements , Price Impact , Systemic Risk

Session

WE-P-DA » Systemic Risk (14:30 - Wednesday, 18th July, Davis)

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