Este trabalho testa, através da metodologia de cópulas, a hipótese de contágio financeiro entre ações brasileiras e índices de mercado dos países que deram origem às crises do Terror em 2001, da Argentina em 2001, dos Subpprimes em 2007 e do Débito Soberano Europeu em 2009. Além disso, ainda é feita uma análise dos setores econômicos que mais foram afetados por cada crise. Os testes da crise do Terror apresentaram evidências de contágio do SP500 para 24 ações brasileiras, afetando, principalmente os setores ligado à indústria e à energia. As crises da Argentina e do Débito Soberano Europeu apresentaram evidências de contágio dos índices Merval e Athex para apenas 3 empresas. A crise dos Subprimes apresentou evidências de contágio do SP500 para 35 empresas brasileiras, sendo a maioria ligada aos setores financeiros, de energia e industrial. 7 ações foram afetadas pelas duas crises norteamericanas. Os resultados reforçam a importância da análise de contágio em cada empresa individual, ao invés de utilizar o índice do mercado brasileiro como um todo. / This paper tests, through the copulas methodology, the hypothesis of financial contagion between the individual Brazilian stocks and the market indices of the countries where the crises were originated. The crises analyzed are the Terror crisis in 2001, the Argentina’s crisis in 2001, the Subprime crisis in 2007 and the Sovereign Debt crisis in 2009. In addition to this, the Brazilian economic sectors are examined in order to find out which were most affected by each crisis. The tests of the Terror crisis presented evidence of SP500 contagion to 24 Brazilian stocks, affecting, mainly, sectors related to industry and energy. The Argentina’s crisis and the European Sovereign Debt crisis presented contagion’s evidence of the Merval and Athex indices for only 3 Brazilian companies. The Subprimes crisis presented evidence of SP500 contagion for 35 Brazilian companies, mostly related to the financial, energy and industrial sectors. 7 Brazilian stocks were affected by both American crises. The results reinforce the importance of contagion analysis in each individual company, rather than using the Brazilian market index.

Os mercados financeiros são de extrema relevância para as diversas economias do mundo. Sua efetividade na atração de capitais e investimentos é notória. Atualmente, o fluxo financeiro entre os diversos países é muito intenso, devido ao fenômeno da globalização. Tal situação provoca transmissão de crises financeiras entre diferentes países. Neste contexto, a avaliação de contágio financeiro torna-se um tema bastante relevante. A presente dissertação almejou verificar se houve contágio financeiro da crise americana de 2008 sobre os países do BRIC (Brasil, Rússia, Índia e China). Para tanto, foram utilizadas duas metodologias distintas. Uma delas, devido a Fermanian et al. (2002), foi empregada para estimação não paramétrica das cópulas via kernel. Assim, pode-se averiguar se houve aumento significativo nas medidas de dependência. A outra, desenvolvida por Remillard e Scaillet (2009), é um teste de comparação entre duas cópulas empíricas que investiga se houve mudança na estrutura de dependência no período de crise. Os dois procedimentos metodológicos indicaram a ocorrência de contágio da crise americana de 2008 sobre todos os países do BRIC. / Financial markets are extremely relevant to the world's diverse economies. Its effectiveness in attracting capital and investments is notorious. Currently, the financial flow between the various countries is very intense, due to the phenomenon of globalization. This situation leads to the transmission of financial crises between different countries. In this context, the evaluation of financial contagion becomes a very relevant issue. The present dissertation aimed to verify if there was financial contagion of the 2008 US crisis on the BRIC countries (Brazil, Russia, India and China). For that, two different methodologies were used. One of them, due to Fermanian et al. (2002), was used for non-parametric estimation of copula via kernel. Thus, it can be verified if there was a significant increase in the measures of dependence. The other, developed by Remillard and Scaillet (2009), is a test of comparison between two empirical copulas that investigates if there was a change in the dependency structure in the crisis period. The two methodological procedures indicated the occurrence of contagion of the American crisis of 2008 on all BRIC countries.

This study investigates whether financial globalization influences emerging markets by examining the correlation between a global market in relation to emerging markets. By constructing yearly correlation coefficients through collecting daily return from index markets, financial contagion can be detected. International trade serves as a measurement for financial globalization, in the context of the continuation of globalization in the world. Through the progress of creating the correlation coefficients, the significance of trade globalization has been identified along with the relationship the correlation coefficients have with it. Leading to the conclusion that financial globalization does impact the emerging markets and have done so throughout the timespan of 25 years.

自1997亞洲金融風暴以來，區域性金融危機的傳染現象(Contagion, or Spillover Effect)便受到經濟學界高度重視，其重要性在2008年雷曼兄弟事件所引發的全球性金融海嘯後更加突顯，而相關的資本管制也陸續出籠，其中最引人注目的當屬2010年通過實行的三代巴賽爾條約(Basel III)。本文奠基於Allen and Gale(2000)所提出的銀行同業拆借市場(Interbank Market)模型，配合資本適足率的導入，試圖驗證在資本管制的設定之下，是否能有效預防銀行恐慌與其蔓延現象之發生。其結果證實提高資本適足率後，藉由銀行本身主動的提高緩衝性準備(Buffer)，銀行倒閉的發生機率將顯著降低，換言之，資本適足率管制有效提高了銀行倒閉門檻。同時，本文亦證實資本管制對於銀行同業拆借市場所衍生的傳染現象具有顯著的改善效果。 然而，資本適足率之管制雖具有穩定金融體系的作用，其對存款人消費之緊縮效果卻無可避免會降低其效用。本文在考慮銀行倒閉風險機率後，建立一兩期之社會福利涵數，並利用計算代表性個人(Representative Agent)預期效用極大化條件下的最適資本適足率。在特定參數之下，所得到最適資本適足率為6.375%。我們並且進一步證實，在權益資金報酬率小於長期資產報酬率之下，最適之資本適足率將同步增加，進而使社會福利最大，此符合一般的經濟直覺，同時再次突顯金融體系穩定性對於社會福利的重要性。 / The financial contagion phenomenon, or the spillover effect, has become a crucial issue in recent years after the breakout of the financial crises in 2008. To deal with such problem, some regulations such as the capital requirement, has been introduced as a solution. In our paper, we develop a model based on Allen and Gale (2000) to testify whether the introduction of the capital requirement can successfully reduce the risks of bankruptcy and contagion phenomenon for the interbank system when suffering from the regional liquidity shock. We conclude that after the introduction of capital requirement, the bank will voluntarily hold more buffers to lower the bankruptcy risk and reduce the spillover effect. What’s more, we construct an optimal level of the capital requirement that maximize the social welfare utility and depends on the probability of bankruptcy, the percentage of early withdrawals, the relative cost of capital and other parameters. By simulation, we have the optimal capital requirement at 6.375% in our benchmark case, which is a reasonable one compared with the current Basel Accord. Finally, the paper shows that as the cost of capital is getting lower, bank uses more capital which enhances the social welfare significantly in equilibrium, indicating the great importance of financial stability.

銀行恐慌現象的探討一直都廣受研究金融危機與系統性風險等領域的經濟學者所青睞，而銀行擠兌潮更經常被視為導致銀行恐慌的主因之一。由於金融全球化已是時勢所趨，因此金融危機的蔓延更加受到學術界重視。Allen and Gale (2000)建構出不同型態的銀行同業拆借市場(Interbank market)，並以此為基礎進一步探討在最佳風險分攤的前提之下，銀行與消費者如何決定其投資與消費的最佳資源配置。 本文的基本架構係基於Allen and Gale (2000)所提出的經濟模型，配合存款保險制度的導入，嘗試驗證他們所提出的最佳資源配置是否仍然成立。而本文的結果證實政府實施存款保險制度，銀行與消費者仍然可以得到他們在投資與消費的最佳配置，即使在完美與不完美的銀行同業拆借市場，其結果仍然成立。另外本文也嘗試對存款保險制度是否能有效預防銀行恐慌與其蔓延作出驗證。其結果證實提高存款保險稅率後，銀行擠兌潮的發生需要較高的不可預期流動性需求。換言之，存款保險制度有效提高了銀行倒閉門檻。而對於預防透過銀行同業拆借市場所衍生的金融危機蔓延，存款保險制度的有效性也在本文中獲得證實。 然而存款保險制度並非具絕對優勢，過多則損害消費者的預期效用。因此本文將銀行倒閉風險機率納入模型，利用軟體模擬消費者預期效用極大化條件下的最適存款保險稅率。並且進一步證實，長期資產到期日清算與到期前清算，其兩者報酬率之間的利差愈大，存款保險最適稅率須同步增加，才能使消費者效用最大。另外我們也證實存款保險制度能夠提高社會福利水準與降低銀行倒閉風險。 / Bank panic serves as a favored subject for economists who engage in researches of financial crisis and systematic risk. Because financial liberalization and globaliza-tion have been inevitable, economic scholars have regarded financial contagion. Allen and Gale (2000) established different interbank market structures to achieve the first-best allocation of banks’ investment portfolio and depositors’ consumptions. In this paper, we try to confirm Allen and Gale’s first-best allocation when the deposit insurance is implemented, and we obtain the same consequence as well. Be-sides, we also approve that occurrence of a bank run must accompany by a high level of unexpected liquidity shock if the deposit insurance exists. In other words, it raises the threshold of bankruptcy. Therefore, the deposit insurance is feasible to avert bank panic. With regard to the contagion effect, the deposit insurance undoubtedly de-creases its negative influence because financial interdependence between different financial sectors will be attenuated by imposing a deposit-insurance tax on depositors. The deposit insurance, however, is not constantly superior due to the depositors’ loss in consuming utility. We achieve the optimal deposit-insurance tax rate by intro-ducing probability of bank’s bankruptcy, and find that the optimal tax rate may be raised, so as to boost consumers’ utility if return spread between early and late with-drawn long assets keeps higher. We also testify that the deposit insurance can enhance the social welfare and decrease the incidence of bankruptcy.

Submitted by Maximilian-Benedikt Koehn (mb@koehn.cc) on 2015-10-27T13:40:42Z No. of bitstreams: 1 MasterThesis_FGV_MBK-2.pdf: 1998443 bytes, checksum: f5b2dd679c9a165738dd916b469de18e (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Maximilian, In second page, the date is incorrect, it should be 2015. Also the pages numeration in the thesis is incorrect, it should started at the first page of the thesis but the number only appear in the introdution. and it should be at the bottom of the pages. Ex: Introdution is page 10 so in the bottom of the page you see the number 10. Also you didn't write the acknowledgement. It's mandatory in the thesis. Ana Luiza Holme 3799-3492 on 2015-10-27T13:49:55Z (GMT) / Submitted by Maximilian-Benedikt Koehn (mb@koehn.cc) on 2015-10-29T11:50:38Z No. of bitstreams: 1 MasterThesis_FGV_MBK_Final.pdf: 1963111 bytes, checksum: 7788e02d7ef86d4824fb7f131629e4d5 (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Duplicidade, Duplicity on 2015-11-03T11:55:29Z (GMT) / Submitted by Maximilian-Benedikt Koehn (mb@koehn.cc) on 2015-11-03T14:54:38Z No. of bitstreams: 1 MasterThesis_FGV_MBK.pdf: 2335793 bytes, checksum: 0ce05e9480acae0f9da905ae2e91f3ba (MD5) / Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2015-11-03T15:13:09Z (GMT) No. of bitstreams: 1 MasterThesis_FGV_MBK.pdf: 2335793 bytes, checksum: 0ce05e9480acae0f9da905ae2e91f3ba (MD5) / Made available in DSpace on 2015-11-03T15:16:18Z (GMT). No. of bitstreams: 1 MasterThesis_FGV_MBK.pdf: 2335793 bytes, checksum: 0ce05e9480acae0f9da905ae2e91f3ba (MD5) Previous issue date: 2015-09-24 / Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by Engle and Sheppard (2001) as an econometrical - and on the other hand the behavioral finance as an psychological explanation. Contagion is defined in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main finding indicates the presence of contagion in the different indices among those two continents and proves the presence of structural changes during financial crisis. / Revendo a definição e determinação de bolhas especulativas no contexto de contágio, este estudo analisa a bolha do DotCom nos mercados acionistas americanos e europeus usando o modelo de correlação condicional dinâmica (DCC) proposto por Engle e Sheppard (2001) como uma explicação econométrica e, por outro lado, as finanças comportamentais como uma explicação psicológica. Contágio é definido, neste contexto, como a quebra estatística nos DCC’s estimados, medidos através das alterações das suas médias e medianas. Surpreendentemente, o contágio é menor durante bolhas de preços, sendo que o resultado principal indica a presença de contágio entre os diferentes índices dos dois continentes e demonstra a presença de alterações estruturais durante a crise financeira.

This thesis analyses what drives sovereign credit risk when contagion is con- trolled for. CDS spreads are used as a measure of credit risk and bond yields are used to estimate interconnectedness of the examined countries. The main contribution lies in the use of high-frequency data and a robust wavelet based estimator in addition to spatial econometric model. The aim of this thesis is to test for presence of contagion and to evaluate which fundamentals are decisive for market perception of sovereign credit risk. Another goal is to evaluate the possibility of a structural break caused by the Greek debt restructuring. The results show that the restructuring did bring change. Contagion is present during the post-crisis period and it diminishes as the economies recover. Sim- ilarly, fundamentals are of higher importance in the post-crisis period when compared with the following period. JEL Classification C22, C31, C33, G01, G32, G33 Keywords spatial econometrics, CDS spreads, sovereign credit risk, financial contagion, realised covari- ance Author's e-mail josef.zahlava@gmail.com Supervisor's e-mail petr.gapko@seznam.cz

Submitted by Pedro Nielsen Rotta (pedro.rotta@gvmail.br) on 2013-01-17T01:23:43Z No. of bitstreams: 1 Dissertação_MPE_Pedro_Nielsen_Rotta.pdf: 1289831 bytes, checksum: e326f8c88be4c40b8581a8dd53dc83a3 (MD5) / Approved for entry into archive by Eliene Soares da Silva (eliene.silva@fgv.br) on 2013-01-17T15:46:21Z (GMT) No. of bitstreams: 1 Dissertação_MPE_Pedro_Nielsen_Rotta.pdf: 1289831 bytes, checksum: e326f8c88be4c40b8581a8dd53dc83a3 (MD5) / Made available in DSpace on 2013-01-17T16:11:12Z (GMT). No. of bitstreams: 1 Dissertação_MPE_Pedro_Nielsen_Rotta.pdf: 1289831 bytes, checksum: e326f8c88be4c40b8581a8dd53dc83a3 (MD5) Previous issue date: 2012-12-18 / Nas últimas décadas, a análise dos padrões de propagação internacional de eventos financeiros se tornou o tema de grande parte dos estudos acadêmicos focados em modelos de volatilidade multivariados. Diante deste contexto, objetivo central do presente estudo é avaliar o fenômeno de contágio financeiro entre retornos de índices de Bolsas de Valores de diferentes países a partir de uma abordagem econométrica, apresentada originalmente em Pelletier (2006), sobre a denominação de Regime Switching Dynamic Correlation (RSDC). Tal metodologia envolve a combinação do Modelo de Correlação Condicional Constante (CCC) proposto por Bollerslev (1990) com o Modelo de Mudança de Regime de Markov sugerido por Hamilton e Susmel (1994). Foi feita uma modificação no modelo original RSDC, a introdução do modelo GJR-GARCH formulado em Glosten, Jagannathan e Runkle (1993), na equação das variâncias condicionais individuais das séries para permitir capturar os efeitos assimétricos na volatilidade. A base de dados foi construída com as séries diárias de fechamento dos índices das Bolsas de Valores dos Estados Unidos (SP500), Reino Unido (FTSE100), Brasil (IBOVESPA) e Coréia do Sul (KOSPI) para o período de 02/01/2003 até 20/09/2012. Ao longo do trabalho a metodologia utilizada foi confrontada com outras mais difundidos na literatura, e o modelo RSDC com dois regimes foi definido como o mais apropriado para a amostra selecionada. O conjunto de resultados encontrados fornecem evidências a favor da existência de contágio financeiro entre os mercados dos quatro países considerando a definição de contágio financeiro do Banco Mundial denominada de 'muito restritiva'. Tal conclusão deve ser avaliada com cautela considerando a extensa diversidade de definições de contágio existentes na literatura. / Over the last decades, the analysis of the transmissions of international financial events has become the subject of many academic studies focused on multivariate volatility models volatility. The goal of this study is to evaluate the financial contagion between stock market returns. The econometric approach employed was originally presented by Pelletier (2006), named Regime Switching Dynamic Correlation (RSDC). This methodology involves the combination of Constant Conditional Correlation Model (CCC) proposed by Bollerslev (1990) with Markov Regime Switching Model suggested by Hamilton and Susmel (1994). A modification was made in the original model RSDC, the introduction of the GJR-GARCH Glosten model formulated in Glosten, Jagannathan e Runkle (1993), on the equation of the conditional univariate variances to allow asymmetric effects in volatility be captured. The database was built with the series of daily closing stock market indices in the United States (SP500), United Kingdom (FTSE100), Brazil (IBOVESPA) and South Korea (KOSPI) for the period from 02/01/2003 to 20/09/2012. Throughout the work the methodology was compared with others most widespread in the literature, and the model RSDC with two regimes was defined as the most appropriate for the selected sample. The set of results provide evidence for the existence of financial contagion between markets of the four countries considering the definition of financial contagion from the World Bank called 'very restrictive'. Such a conclusion should be evaluated carefully considering the wide diversity of definitions of contagion in the literature.

Cette thèse porte sur la modélisation, la prévision et la couverture du risque de contagion financière. Après une présentation générale des fondements théoriques et des mécanismes de propagation relatifs à la contagion financière, nous introduisons une modélisation fondée sur les modèles de cointégration non linéaire et de causalité non linéaire dans lesquels, les variables et le terme d’erreur du modèle à correction d’erreur obéissent à la dynamique de processus auto-régressifs à changement de régime de type TAR et M-TAR pour capter l’effet de contagion. Une extension de cette modélisation au cadre de prévision probabiliste conditionnelle a été faite par la suite à travers les réseaux de croyance Bayésienne pour renforcer le pouvoir prédictif. Ensuite, nous montrons comment une institution financière peut couvrir son portefeuille contre ce type de risque par de nouvelles approches. Nous proposons pour cela, une stratégie de couverture purement statique dans une perspective règlementaire à l’aide de modèles génératifs de type Vines-copula, une stratégie de couverture semi-statique fondée sur la budgétisation des risques et une stratégie de couverture dynamique à partir des processus de diffusion à sauts mutualisés. Ces nouvelles modélisations sont testées empiriquement sur un ensemble d’indices boursiers. / This Ph.D thesis focuses on modeling, forecasting and hedging financial contagion. After an overview of the theoretical foundations and spread mechanism relating to financial contagion, we introduce modeling based on nonlinear cointegration and non-linear causality models in which the variables and the error term in the correction model error obey at the dynamics of autoregressive regime change process of type TAR and M-TAR to catch the contagion effect. An extension of this model to conditional probabilistic forecasting framework was done through Bayesian belief networks, to enhance the predictive power. Then we show how a financial institution can hedge its portfolio against this risk by new specifications. Therefore, we offer a purely static hedging strategy in a regulatory perspective using generative models Vines-copula, a semi-static hedging strategy based on risk budgeting and dynamic hedging strategy based on mutually exciting jumps diffusion process. These new models are tested empirically on set of market indices.

Les périodes marquées par une aversion au risque intense sont souvent l’origine de distorsions notables dans les prix de marché, et de pertes substantielles pour les investisseurs. Chaque épisode de crise financière montre que les mouvements de ventes généralisées sur les marchés ont des conséquences très négatives sur l’économie réelle. Ainsi, explorer le phénomène d’aversion au risque et la dynamique de propagation du sentiment de panique sur les marchés financiers peut aider à appréhender ces périodes de forte volatilité.Dans ce rapport de thèse, nous explorons différentes dimensions du phénomène d’aversion au risque, dans le cadre de portefeuilles d’obligations souveraines Européennes. Le rendement des obligations d’Etat, quotté par les traders, est sensé refléter entre autre le risque que le Trésor fasse défaut sur sa dette, avant que l’obligation vienne à maturation. Il s’agit là du risque souverain. Les crises financières habituellement occasionnent un mouvement important des rendements vers des niveaux plus élevés. Ce type de correction reflète un accroissement du risque souverain, et implique nécessairement une hausse du coût de financement pour les Trésors nationaux. Un objectif de ce rapport est donc de fournir des détails inédits aux Trésors sur la manière dont les rendements obligataires sont sensés se détériorer en période d’aversion au risque.Chapitre I explore le risque souverain dans le cadre d’un modèle probabiliste impliquant des distributions à queues lourdes, ainsi que la méthode GAS qui permet de capturer la dynamique de la volatilité. L’ajustement obtenu avec les distributions Hyperboliques Généralisées est robuste, et les résultats laissent penser que notre approche est particulièrement efficace durant les périodes marquées par une volatilité erratique. Dans un but de simplification, nous décrivons la mise en place d’un estimateur de volatilité intemporel, sensé refléter la volatilité intrinsèque de chaque obligation. Cet estimateur suggère que la volatilité croit de manière quadratique lorsque celle-ci est exprimée en fonction de la fonction de répartition des variations de rendements. Dans un second temps nous explorons une version bivariée du modèle. La calibration, robuste, met en valeur les corrélations entre chaque obligation. En guise d’observation générale, notre analyse confirme que les distributions à queues épaisses sont tout à fait appropriées pour l’exploration des prix de marché en période de crise financière.Chapitre II explore différentes manières d’exploiter notre modèle probabiliste. Afin d’identifier la dynamique de la contagion entre les obligations souveraines, nous analysons la réaction attendue du marché à une série de chocs financiers. Nous considérons un niveau important de granularité pour ce qui est de la sévérité du choc sous-jacent, et ceci nous permet d’identifier des lois empiriques supposées généraliser le comportement de la réaction de marché lorsque l’aversion au risque s’intensifie. Puis, nous incorporons nos estimateurs de volatilité et de réaction de marché à certaines approches reconnues d’optimisation de portefeuille et nous notons une amélioration de la résistance des portefeuilles, dans cette nouvelle version. Finalement, nous développons une nouvelle méthodologie d’optimisation de portefeuille basée sur le principe de mean-reversion.Chapitre III est dédié au pricing de produits dérivés de taux. Nous considérons maintenant que l’aversion au risque cause l’émergence de discontinuités dans les prix de marché, que nous simulons par le biais de processus à sauts. Notre modèle se concentre sur les processus de Hawkes qui ont l’avantage de capturer la présence d’auto-excitation dans la volatilité. Nous développons une procédure de calibration qui se distingue des procédures habituelles. Les résultats de volatilité implicite sont cohérents avec la volatilité réalisée, et suggèrent que les coefficients de prime de risque ont été estimés avec succès. / Periods of deep risk aversion are usually marked by sizeable distortions in market prices, and substantial losses in portfolios. As observed during financial crises, a generalized debacle in financial markets is a very negative shock for the real economy. Against this backdrop, it looks relevant to explore how risk aversion tends to affect global market valuations, especially if this exercise helps make the promotion of more optimal portfolio rebalancing procedures.In this dissertation, we investigate different dimensions of risk aversion, with a focus on European Sovereign debt securities. For a given sovereign bond, the (quoted) yield to maturity has to reflect the underlying risk that the Treasury may default on its debt, before maturation of the bond. This is sovereign risk. Financial crises usually occasion an upward correction in bond yields. Since higher yields reflect larger sovereign risk and higher funding costs, national Treasuries are usually inclined to get a deeper understanding of how sovereign risk could evolve under the influence of fierce risk aversion. This is another objective of our research analysis.In Chapter I, we consider a probabilistic approach to sovereign risk exploration, with the main purpose of illustrating the non-linear reaction ensuing from a gradual deterioration in market sentiment. We consider heavy-tailed distributions, and we use the Generalised Autoregressive Score method as a means to capture the volatility momentum. The goodness of fit provided by Generalised Hyperbolic distributions is compelling, and results suggest that our approach is particularly relevant to fit periods or erratic volatility, typical of financial crises. As an attempt to simplify the model, we focus on an empirical formulation of the ‘untemporal’ volatility of each security. This estimator of the intrinsic volatility suggests that volatility tends to accelerate in a quadratic manner when it is expressed against the cumulative distribution function of the yield variations. In a second part, we extend this approach to a problem of larger dimension and we explore the dynamics of risk aversion from a bivariate point of view. Results look robust and illustrate multivariate correlations between sovereign securities. As a general conclusion, heavy-tailed distributions look remarkably efficient to replicate the distribution of times-series affected by distorted volatility and erratic price variations.Chapter II explores different ways to extract information from the model, about financial contagion and how it is supposed to propagate through sovereign securities. In particular, we explore the market reaction to a series of many shocks with gradual intensity. Results offer a high degree of granularity and we extrapolate empirical rules on the expected market dynamics, when risk aversion intensifies. Then we incorporate our estimators of volatility and market reaction (to shocks) into popular portfolio optimisation procedures and we see positive implications on the general resilience of these portfolios. Finally, we also design an in-house methodology for optimal portfolio rebalancing, based on mean reversion.In Chapter III, we explore how sovereign risk tends to affect the price of financial derivatives in a risk-off environment. We consider that risk aversion and the ensuing volatility now favour the emergence of sizeable discontinuities in market prices, that we model with stochastic jumps. The different approaches we investigate extensively rely on Hawkes processes. These stochastic processes seek to estimate the durable impact of risk aversion onto the dynamics of jumps, via the introduction of dedicated self-excited loops. We develop an original approach to the calibration, different from conventional procedures. In the end, the calculated implied volatility remains in the vicinity of the realised volatility and there is a visible capability to jump on any rise in risk aversion.