Extending the Gai-Kapadia framework to equity markets finds strong global resilience but localized vulnerabilities driven by high clustering in emerging-market assets and heavy-tailed loss distributions.
The Journal of Finance 57: 2223--2261
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Systemic Risk and Default Cascades in Global Equity Markets: A Network and Tail-Risk Approach Based on the Gai Kapadia Framework
Extending the Gai-Kapadia framework to equity markets finds strong global resilience but localized vulnerabilities driven by high clustering in emerging-market assets and heavy-tailed loss distributions.