Financial Contagion & Systemic Risk
Evidence on how shocks move between countries, sectors and institutions, from pandemics and bank failures to trade policy announcements, so you can see where your exposure really sits.
How shocks spread across markets and institutions.
- Spillover Measurement
- Who transmits shocks and who receives them, across your markets or holdings.
- Event Analysis
- How specific events, such as bank collapses or policy announcements, changed market relationships.
- Network Connectedness
- How currencies, sectors or firms are linked, and how those links shift under stress.
- Systemic Risk
- How much risk is shared across an industry or asset class, and where it concentrates.
Contagion and Spillover Analysis
We measure how correlations and risk transmission change over time, using dynamic conditional correlation and spillover-index methods.
- Time-varying correlations
- Spillover indices
- Crisis versus calm comparisons
Event and Policy Shocks
We test whether a specific event moved your markets, such as a bank failure, a pandemic or a trade policy announcement.
- Event windows
- Before-and-after comparisons
- Policy impact
Systemic Risk Assessment
We quantify shared risk across institutions or asset classes and show where it concentrates.
- Risk concentration
- Network maps
- Stress periods
More research areas
All research areas- Portfolio Risk, Hedging & Safe HavensWhich assets protect a portfolio, and when.
- Sustainable Finance & ESGWhether green and ESG investments pay or protect.
- Climate Risk & Green InnovationClimate exposure, policy and environmental innovation.
- Interest Rate Risk & Financial InstitutionsRate exposure, profitability and capital in banks.
- Cryptocurrency & Digital AssetsCrypto as a diversifier, and what moves it.
- Corporate Governance & Board DiversityBoard composition and sustainability outcomes.
Planning a research project?
Tell us the question you need answered and we will suggest how to scope it.