Contagion Testing in Embryonic Markets Under Alternative Stressful US Market Scenarios
(2019)
Journal Article
Mahadeo, S. M., Heinlein, R., & Legrenzi, G. D. (2019). Contagion Testing in Embryonic Markets Under Alternative Stressful US Market Scenarios. SSRN, https://doi.org/10.2139/ssrn.3523533
We consolidate alternative ways for identifying stable and stressful scenarios in the S&P 500 market to construct contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into discrete condit... Read More about Contagion Testing in Embryonic Markets Under Alternative Stressful US Market Scenarios.