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Crisis transmission: Visualizing vulnerability

Dungey, M, Islam, R ORCID: 0000-0001-5464-0589 and Volkov, V ORCID: 0000-0001-9721-9700 2020 , 'Crisis transmission: Visualizing vulnerability' , Pacific Basin Finance Journal, vol. 59 , pp. 1-22 , doi: 10.1016/j.pacfin.2019.101255.

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This paper develops a means of visualizing the vulnerability of complex systems of financialinteractions around the globe using Neural Network clustering techniques. We show how timevarying spillover indices can be translated into two dimensional crisis maps. The crisis maps havethe advantage of showing the changing paths of vulnerability, including the direction and extentof the effect between source and affected markets. Using equity market data for 31 globalmarkets over 1998–2017 we provide these crisis maps. These tools help portfolio managers andpolicy makers to distinguish which of the available tools for crisis management will be mostappropriate for the form of vulnerability in play.

Item Type: Article
Authors/Creators:Dungey, M and Islam, R and Volkov, V
Keywords: crisis transmission, vulnerability, systemic risk, networks
Journal or Publication Title: Pacific Basin Finance Journal
Publisher: Elsevier BV
ISSN: 0927-538X
DOI / ID Number: 10.1016/j.pacfin.2019.101255
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© 2019 Elsevier B.V. All rights reserved.

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