Search Results

You are looking at 1 - 6 of 6 items :

  • Keyword: contagion risk x
  • United Kingdom x
Clear All Modify Search
External Linkages and Contagion Risk in Irish Banks

External Linkages and Contagion Risk in Irish Banks »

Source: External Linkages and Contagion Risk in Irish Banks

Volume/Issue: 2007/44

Series: IMF Working Papers

Author(s): Srobona Mitra , and Elena Duggar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2007

ISBN: 9781451866087

Keywords: Contagion risk, Distance to default, contagion, systemic risk, banking system, interbank market, Model Construction and Estimation,

The large and growing international linkages of big Irish banks expose them to idiosyncratic shocks arising in other countries. We analyze international interdependencies of Irish banks-during both normal times and...

Lessons and Policy Implications from the Global Financial Crisis

Lessons and Policy Implications from the Global Financial Crisis »

Source: Lessons and Policy Implications from the Global Financial Crisis

Volume/Issue: 2010/44

Series: IMF Working Papers

Author(s): Stijn Claessens , Luc Laeven , Deniz Igan , and Giovanni Dell'Ariccia

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2010

ISBN: 9781451963021

Keywords: International financial architecture, regulation and supervision, subprime lending, contagion, households leverage, financial institutions, credit booms, systemic risk, deposit insurance, Economics Education and Teaching of Economics: Undergraduate

The ongoing global financial crisis is rooted in a combination of factors common to previous financial crises and some new factors. The crisis has brought to light a number of deficiencies in financial regulation a...

Contagion Risk in the International Banking System and Implications for London As a Global Financial Center

Contagion Risk in the International Banking System and Implications for London As a Global Financial Center »

Source: Contagion Risk in the International Banking System and Implications for London As a Global Financial Center

Volume/Issue: 2007/74

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , Srobona Mitra , and Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2007

ISBN: 9781451866384

Keywords: co-exceedance, contagion risk, distance-to-default, extreme value theory, LOGIT, foreign banks, financial institutions, stock market, financial system, financial markets

In this paper, we use the extreme value theory (EVT) framework to analyze contagion risk across the international banking system. We test for the likelihood that an extreme shock affecting a major, systemic U.K. ba...

External Linkages and Contagion Risk in Irish Banks

External Linkages and Contagion Risk in Irish Banks »

Volume/Issue: 2007/44

Series: IMF Working Papers

Author(s): Srobona Mitra , and Elena Duggar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2007

DOI: http://dx.doi.org/10.5089/9781451866087.001

ISBN: 9781451866087

Keywords: Contagion risk, Distance to default, contagion, systemic risk, banking system, interbank market, Model Construction and Estimation,

The large and growing international linkages of big Irish banks expose them to idiosyncratic shocks arising in other countries. We analyze international interdependencies of Irish banks-during both normal times and...

Lessons and Policy Implications from the Global Financial Crisis

Lessons and Policy Implications from the Global Financial Crisis »

Volume/Issue: 2010/44

Series: IMF Working Papers

Author(s): Stijn Claessens , Luc Laeven , Deniz Igan , and Giovanni Dell'Ariccia

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2010

DOI: http://dx.doi.org/10.5089/9781451963021.001

ISBN: 9781451963021

Keywords: International financial architecture, regulation and supervision, subprime lending, contagion, households leverage, financial institutions, credit booms, systemic risk, deposit insurance, Economics Education and Teaching of Economics: Undergraduate

The ongoing global financial crisis is rooted in a combination of factors common to previous financial crises and some new factors. The crisis has brought to light a number of deficiencies in financial regulation a...

Contagion Risk in the International Banking System and Implications for London As a Global Financial Center

Contagion Risk in the International Banking System and Implications for London As a Global Financial Center »

Volume/Issue: 2007/74

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , Srobona Mitra , and Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2007

DOI: http://dx.doi.org/10.5089/9781451866384.001

ISBN: 9781451866384

Keywords: co-exceedance, contagion risk, distance-to-default, extreme value theory, LOGIT, foreign banks, financial institutions, stock market, financial system, financial markets

In this paper, we use the extreme value theory (EVT) framework to analyze contagion risk across the international banking system. We test for the likelihood that an extreme shock affecting a major, systemic U.K. ba...