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, 27 2.1.1 Une couverture du risque de crédit, Un outil de couverture (hedging) et de négociation (trading)
, La gestion du risque de crédit et la réduction des exigences
, une source d'information
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, II-Les effets systémiques des CDS : menaces potentielles pour la stabilité financière ???????????????????????????????38
, Too Big to Fail" et "Too Interconnected to Fail"
, aléa moral : une incitation au défaut des émetteurs (et l'hypothèse de l'empty creditor)
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, Une crise des fondamentaux et les effets de la contagion
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, 131 3.2.1 La contagion à travers les comportements des investisseurs : la contagion psychologique, Les causes de la contagion : les vecteurs de contagion potentiels
, Fundamentals-based contagion : la chaîne des échanges financiers et commerciaux
, 3.1 La dégradation des ratings souverains par les agences de notations : le canal de l'information
, La matérialisation de la crise : la montée des primes du risque souverain
, Boucle de retour" entre les banques et le risque souverain
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, Le choix des données et la présentation des variables
, 160 2.1 Le test de racine unitaire : le test de stationnarité type ADF, Le test de contagion : l'estimation du modèle vectoriel à correction d'erreur (VECM)
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, Les résultats empiriques
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, Les interprétations et les discussions des résultats expliquant la contagion et ses retombées sur les pays
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, Figure 2.1 : Spreads des rendements des obligations souveraines
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, Groupe, vol.2
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, Test de Westerlund)
, Tableau 3.1 : Les résultats du test de Chow
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, Taleau 3.3 : Les résultats du test de Stationnarité
, 4 : Résultats du test de cointégration (test de la Trace), Tableau, vol.3
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, Tableau 3.4 b : VIX comme variable explicative
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