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

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. bank would also affect another large local or foreign counterpart, and vice-versa. Our r...

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Bibliografiske detaljer
Hovedforfatter: Chan-Lau, Jorge
Andre forfattere: Mitra, Srobona, Ong, Li
Format: Tidsskrift
Sprog:English
Udgivet: Washington, D.C. : International Monetary Fund, 2007.
Serier:IMF Working Papers; Working Paper ; No. 2007/074
Online adgang:Full text available on IMF