Search Results

You are looking at 1 - 6 of 6 items :

  • Keyword: contagion risk 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...

Banks’ Foreign Credit Exposures and Borrowers’ Rollover Risks Measurement, Evolution and Determinants1

Banks’ Foreign Credit Exposures and Borrowers’ Rollover Risks Measurement, Evolution and Determinants1 »

Source: Banks' Foreign Credit Exposures and Borrowers' Rollover Risks Measurement, Evolution and Determinants

Volume/Issue: 2013/9

Series: IMF Working Papers

Author(s): Eugenio Cerutti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 January 2013

ISBN: 9781475544602

Keywords: Systemic risks, banking system, international, contagion, vulnerabilities, banking, claims, banking systems, banking statistics, International Lending and Debt Problems

The recent crises highlighted the role of cross-border banking linkages. This paper proposes two new measures for better capturing creditor banking systems' foreign credit exposures and borrower countries' reliance...

Sovereign Spreads

Sovereign Spreads »

Source: Sovereign Spreads : Global Risk Aversion, Contagion or Fundamentals?

Volume/Issue: 2010/120

Series: IMF Working Papers

Author(s): Miguel Segoviano Basurto , Carlos Caceres , and Vincenzo Guzzo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2010

ISBN: 9781455200795

Keywords: Sovereign spreads, contagion, market price of risk, probability, bond, bonds, bond yields, probabilities, Financial Markets and the Macroeconomy, General Financial Markets: General (includes Measurement and Data)

Over the past year, euro area sovereign spreads have exhibited an unprecedented degree of volatility. This paper explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-...

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...

Banks' Foreign Credit Exposures and Borrowers' Rollover Risks Measurement, Evolution and Determinants

Banks' Foreign Credit Exposures and Borrowers' Rollover Risks Measurement, Evolution and Determinants »

Volume/Issue: 2013/9

Series: IMF Working Papers

Author(s): Eugenio Cerutti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 January 2013

DOI: http://dx.doi.org/10.5089/9781475544602.001

ISBN: 9781475544602

Keywords: Systemic risks, banking system, international, contagion, vulnerabilities, banking, claims, banking systems, banking statistics, International Lending and Debt Problems

The recent crises highlighted the role of cross-border banking linkages. This paper proposes two new measures for better capturing creditor banking systems' foreign credit exposures and borrower countries' reliance...

Sovereign Spreads
			: Global Risk Aversion, Contagion or Fundamentals?

Sovereign Spreads : Global Risk Aversion, Contagion or Fundamentals? »

Volume/Issue: 2010/120

Series: IMF Working Papers

Author(s): Miguel Segoviano Basurto , Carlos Caceres , and Vincenzo Guzzo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2010

DOI: http://dx.doi.org/10.5089/9781455200795.001

ISBN: 9781455200795

Keywords: Sovereign spreads, contagion, market price of risk, probability, bond, bonds, bond yields, probabilities, Financial Markets and the Macroeconomy, General Financial Markets: General (includes Measurement and Data)

Over the past year, euro area sovereign spreads have exhibited an unprecedented degree of volatility. This paper explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-...