Short-Term Wholesale Funding and Systemic Risk : A Global Covar Approach.
In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a lar...
| Awdur Corfforaethol: | |
|---|---|
| Fformat: | Cylchgrawn |
| Iaith: | English |
| Cyhoeddwyd: |
Washington, D.C. :
International Monetary Fund,
2012.
|
| Cyfres: | IMF Working Papers; Working Paper ;
No. 2012/046 |
| Mynediad Ar-lein: | Full text available on IMF |