Chapter 21. Identifying Spillover Risk in the International Banking System: An Extreme Value Theory Approach
- Li Ong
- Published Date:
- December 2014
Show Summary Details
- Jorge A. Chan-Lau, Martin Čihák, Srobona Mitra and Li Lian Ong This chapter combines material from the International Journal of Finance and Economics (2012), Vol. 17, No. 4, pp. 390–406 (Chan-Lau and others, 2012) and IMF Working Paper No. 07/267 (Čihák Ong, 2007). The authors would like to thank Arabinda Basistha, Jörg Decressin, Dale Gray, Francois Haas, Daniel Hardy, Paul Mills, Jason Mitchell, James Morsink, Klaus Schaeck, Peter Wilding, Bank of England and HM Treasury participants at a seminar held at HM Treasury and participants at the conference on Information in Bank Asset Prices: Theory and Empirics, Ghent University, for useful comments, and Chanpheng Dara for excellent research assistance.
You are not logged in and do not have access to this content. Please login or, to subscribe to IMF eLibrary, please click here