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VERSION:2.0
PRODID:-//AMSE//Event Calendar//FR
CALSCALE:GREGORIAN
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UID:event-8648@www.amse-aixmarseille.fr
DTSTAMP:20260421T153715Z
CREATED:20260421T153715Z
LAST-MODIFIED:20260421T153715Z
STATUS:CONFIRMED
SEQUENCE:0
SUMMARY:finance seminar - Pierre Siklos
DTSTART:20220315T133000Z
DTEND:20220315T133000Z
DESCRIPTION:Obtaining spillover effects from variance decompositions has fo
 und widespread use in the literature. However\, spillovers arising out of i
 nterconnectedness\, for example\, between financial assets can be further d
 ecomposed into both sources of shocks and whether they amplify or dampen vo
 latility conditions in the target market. We show how to use historical dec
 ompositions to rearrange the information from a VAR to include the sources\
 , direction and signs of spillover effects. We apply the methodology to a p
 anel of CDS spreads of sovereigns and financial institutions for the period
  2003-2013 and show how they contribute to changes in credit risk. Signific
 antly\, we are able to discriminate between positive and negative shocks in
  a manner not done previously and\, therefore\, provide new insights into t
 he evolution of CDS interconnectedness across various dimensions.\\n\\nCont
 act: Eric Girardin: eric.girardin[at]univ-amu.frChristelle Lecourt: christe
 lle.lecourt[at]univ-amu.fr\n\nPlus d'informations: https://www.amse-aixmars
 eille.fr/en/events/pierre-siklos-0
LOCATION:MEGA - Salle Carine Nourry\, 424\, Chemin du Viaduc\, 13080 Aix-en
 -Provence
URL;VALUE=URI:https://www.amse-aixmarseille.fr/en/events/pierre-siklos-0
CONTACT:Eric Girardin: eric.girardin[at]univ-amu.frChristelle Lecourt: chri
 stelle.lecourt[at]univ-amu.fr
TRANSP:OPAQUE
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