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...
| Autor principal: | |
|---|---|
| Outros Autores: | , |
| Formato: | Periódico |
| Idioma: | English |
| Publicado em: |
Washington, D.C. :
International Monetary Fund,
2007.
|
| Colecção: | IMF Working Papers; Working Paper ;
No. 2007/074 |
| Acesso em linha: | Full text available on IMF |